Meta Strategy Trading Portfolio – Probability Map Update.

The Power of Gamma

January options expiration is approaching and a window of potential weakness opens as Vix futures and options expire on Wednesday.

The following Friday is the largest expiration for single stock options of the entire year, as well as a large OpEx for the indices.

How is this relevant to traders?

(a) High levels of Gamma make the market bouncy, while flows from Vanna and Charm effects drive a stable market up before OpEx.

(b) OpEx can pull the rug (or remove the ceiling).