The Liquidity Tsunami
Gamma Variant, Liquidity Flood, Substantial Labor Market Progress, Margin Recovery
The Gamma Variant
An option’s gamma is the derivative of its delta, which itself is a measure of how quickly the option’s price changes relative to the price changes of the underlying security. Therefore, it is a measure of how an option’s rate of price changes as the strike price moves in and out of the money.
Monday’s sharp decline was only about delt…