EquitiesPositioning
The Three Big Index ETFs Are All in Negative Dealer Gamma.
The Mega-Cap Stocks That Dominate Them Are Not.
As of Friday's close, SPY, QQQ and IWM all sat in negative dealer gamma below their zero-gamma flip levels, while their biggest holdings stayed positive. It is an unusual split, because the same mega-cap stocks make up most of the weight inside those index funds. Kresmion's modeled gamma surface, taken at the end of Friday July 17, put net dealer gamma for the S&P 500 fund SPY at about negative 8.7 billion dollars, for the Nasdaq 100 fund QQQ at about negative 5.1 billion, and for the Russell 2000 fund IWM at about negative 1.6 billion. All three traded below their zero-gamma flip levels. The six largest US stocks were on the other side: Apple at about positive 1.0 billion, Meta positive 0.9 billion, Microsoft…
·8 min readSPYQQQIWMNVDAAAPL