Delta Hedging an OTM Call (aka The "Pin")
When options dealers are long out-of-the-money Calls, they can cause a "pin" effect where price is "pinned" to the strike price of those calls. Here is how it works.
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SPX IV and Vanna
Implied Volatility on SPX has been steadily decreasing for over a month. When Implied Volatility changes it changes the delta of options - this effect is called Vanna. When the delta of options changes, Market Makers must hedge their positions. Understanding the direction and magnitude of how Market Makers hedge due to changes in volatility gives us insight into the possible buying and selling pressures in the market.
What is Gamma Exposure? A simple Model
A simple model to understand gamma exposure. There are two types of agents in the market - dealers and investors - and depending on what dealers hold in their books, it can exacerbate or dampen stock price movement.