“Traders and investors know that markets are more volatile when gamma exposures are negative, says Garrett DeSimone, head of quantitative research at options data firm OptionMetrics. ‘What’s less widely known is that markets are at their most volatile when gamma is at zero.‘”

Risk.net’s latest article, “Gamma zero: an overlooked signal of volatility is flashing red,” features insight and data from OptionMetrics’ Garrett DeSimone, Ph.D. who explores why markets are most erratic when option hedging exposures are flat. Read the full piece below.