Back in my day as a market maker on the floor of the Chicago Board of Options Exchange (CBOE), the third Friday of the month was known as ‘gamma day.’ That was prior to 2005 when weekly options were introduced—to show my age I was on the CBOE from 1991-2002—and ever since ‘gamma day, it has been a weekly occurrence.
Actually, with some Index and ETFs like SPY having expiration three times a week (Monday, Wednesday Friday), Gamma scalping has become a full-time feature of the trading landscape and as this article from the Wall Street Journal, it may be warping price and volatility levels.
The nut of the piece is… Continue reading on StockNews.com