June 9, 2023
“How best to read investor sentiment from futures or options positioning is a surprisingly controversial topic, so I asked Garrett DeSimone, head of quant research at OptionMetrics, what he thought. ‘There is certainly merit to this narrative,’ he replied, and sent along data on out-of-the-money puts and calls, which shows that investors are leaning heavily to puts (that is, contracts to sell the S&P at a price lower than today’s, as opposed to buying it at a higher price than today’s).”
Featuring insight from OptionMetrics’ Head Quant Garrett DeSimone, Ph.D., the full Financial Times article, “Stress at the edges,” is available to read below.