Analysis: Hawkish Fed could hobble volatility funds’ stock buying spree
February 1, 2023“While that is modest relative to the roughly $34 trillion value of the S&P 500 alone, such funds bear watching since they buy in rising markets and sell when stocks tumble, and can potentially exacerbate downside moves as well as ...
Read moreOptions Skew in FAANG Stocks vs Index
January 30, 2023OptionMetrics’ Garrett DeSimone spoke with Mike Khouw of Open Interest to discuss the skews he sees in technology sector single-stocks versus index skews and what that suggests about investor concerns over the next 60 days. Watch the full interview, “Options ...
Read moreOptionMetrics Exhibiting at Europe EQD 2023
January 17, 2023NEW YORK & BARCELONA, Spain–(BUSINESS WIRE)–OptionMetrics, an options database and analytics provider for institutional investors and academic researchers worldwide, is sponsoring and exhibiting at Europe EQD 2023, January 23-25, 2023, in Barcelona. OptionMetrics offers the highest quality, most comprehensive coverage ...
Read moreIs The Short-Dated Options Boom Changing Index Vol Dynamics?
December 21, 2022“The jump in short-dated activity has some market commentators concerned that related hedging activity is having a ‘pinning’ effect on the underlying. Others see short-dated index flows impacting volatility around events. Garrett DeSimone, head of quantitative research at OptionMetrics, said ...
Read moreWhat Does Treasury Volatility Reveal About Recession Risk?
December 16, 2022OptionMetrics’ Head Quant Garrett DeSimone, Ph.D. joined Michael Khouw on Open Interest to share insights on Treasury volatility, equity skews, recessionary risk, and more. Watch the full interview below. Read Full Article Here
Read moreBig traders flock to US equity options with fleeting lifespans
December 1, 2022”‘As options activity goes up, this can create bigger swings,’ said Garrett DeSimone, head of quantitative research at OptionMetrics. He said a flurry of recent studies had led to widespread acceptance of the theory that option sellers’ so-called gamma exposure ...
Read moreOptionMetrics Sponsoring, Exhibiting at Neudata New York Data Summit 2022
November 15, 2022NEW YORK–(BUSINESS WIRE)–OptionMetrics, an options database and analytics provider for institutional investors and academic researchers worldwide, is sponsoring and exhibiting at Neudata’s New York Data Summit on December 1. OptionMetrics will be showcasing its full line of IvyDB data products. ...
Read moreCiti quants’ AI model aims to hedge earnings surprises
November 7, 2022“’Forecasting volatility around earnings has always been tricky,’ says Garrett DeSimone, head of quantitative research at options data firm OptionMetrics. ‘Earnings are known to cause jumps in stock prices, which can alter the volatility surface dramatically… [both] the level of ...
Read moreThe Freefall in the GBP Can Be Attributed to Multiple Macroeconomic Shocks
November 4, 2022In case you missed our latest blog post covering the recent macroeconomic shocks that have had the biggest impact on the GBP, the full piece is available to read on MoneyShow below. Read Full Article Here
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