CHART OF THE DAY: Implied SPX/SPY Gamma Exposure

For those of you who already subscribe to our new Content Partner, Tier 1 Alpha, you’ll be able to see all of the Volatility, Gamma, Vol CTRL Fund, etc. data I reference when making OODA Loop (observe, orient, decide, act) observations. (To get up-to-speed on Tier 1 Alpha’s models, watch this 60-minute teach-in hosted by the Tier 1 Alpha team on, "Systematic Flows: How Mechanical Buying and Selling Drives Volatility And Trend In The Stock Market.")

Here are some of Craig Peterson’s notes on Vol CTRL Funds this morning:

1. There is a possible 35B in implied rebalancing that would take place with only a -2% SPX move
2. This is the highest amount we’ve seen on the tails this year, with 1- and 3-month vol near 52-week lows
3. Note the tight spreads (between 1 and 3 month vol)…

Since Vol CTRL funds “use a vol scaling strategy, whichever rVol sample is higher is used as a toggle for equity exposure.”