News & Events
Traders dredge 0DTE data for intraday gamma insights
December 19, 20240DTE options are reshaping market dynamics, now accounting for over half of S&P 500 options trading. Head Quant at OptionMetrics, Garrett DeSimone, notes: “A lot of intraday moves have a relationship to the gamma profile... The focus is really on intraday.” Banks ...
Read moreStock Volatility in 2024 Hasn’t Been This Low in Five Years
November 26, 2024Market volatility in 2024 has remained surprisingly low despite global tensions and economic shifts, with the VIX averaging just 15.5 points—the lowest since 2019. “The VIX reflects the macroeconomic uncertainty embedded in the economy,” says Garrett DeSimone, Ph.D., Head of ...
Read moreCan sustainable divesting pressure companies to improve their environmental profiles?
November 12, 2024In his latest research, Dr. George Skiadopoulos, Professor of Finance at the University of Piraeus and Queen Mary University of London, presents a pioneering study on how institutional investors' climate considerations influence firms' financial and environmental profiles. Leveraging advanced data ...
Read moreBuybacks, FOMO, ‘Vanna Tailwind’ Prime Stocks for Year-End Rally
October 31, 2024"The vanna effect may play a similar role in propelling the market post-elections as it did in 2020, says Garrett DeSimone, head of quantitative research at OptionMetrics. 'The idea is that volatility has been priced higher due to hedging against ...
Read moreAmerican Election: The Role of Tariffs
October 30, 2024Tariffs have been a key tool in U.S. economic policy since the 18th century, originally used to protect American industries and fund the government. Their role diminished after WWII with the rise of free trade, but tariffs have recently resurfaced ...
Read moreEquity Options Are Trading as If the Market Is Exiting a Crisis
October 17, 2024“'Generally, a larger gap is often a bullish signal over medium-term horizons, like three to six months,' said Garrett DeSimone, head of quantitative research at OptionMetrics. 'This is because the market tends to price in rising volatility risk, which often ...
Read moreThe Futures Rundown 7: The Trouble With Futures Prices
October 17, 2024Brett Friedman of Winhall Risk Analytics, an OptionMetrics contributor, appears on "The Futures Rundown 7: The Trouble with Futures Prices" with host Mark Longo, where they analyze the current futures market and pricing methodology. Read the Full Podcast Here
Read moreOptionMetrics IvyDB Implied Dividend Data Product Projects US Security Implied Dividends Two Years into Future Using Options Sentiment
October 2, 2024OptionMetrics is pleased to announce the release of IvyDB Implied Dividend. This new dataset uses options pricing data to provide forward-looking dividend projections for optionable single-name securities in the US, two years into the future. This forward looking dividend data ...
Read moreFutures: Not All Price Series Are the Same!
October 1, 2024Not all continuous futures prices series are the same. Depending on how they are constructed, misleading analysis may result. In this month’s blog, Brett Friedman reviews different price curve method. Read Full Blog Here
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