These are important price levels to track. The true value of the Price Magnet report is the tracking of both delta and gamma neutral. Gamma drives delta which drives reversion to the Price Magnet as large options traders hedge to get back "onside."
-- J. Brett Freeze, CFA
Principal, Global Technical Analysis
Former $200B Portfolio Manager for Bank of America
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Here is what subscribers are saying:
There are many ways that large traders legally arbitrage the financial markets, and the options market provides a nice forum for arbitrage activity. Most active investors already know that large traders and investment banks will often book trading profits every single day of an entire quarter.
Each option expiration day is a time stamp for the large traders to maximize profit and purge risk. Since many large traders hedge their investments with delta-neutral portfolios, the unwinding of option positions into expiration can lead to a convergence between the futures price and delta- and gamma-neutral.
The vast majority of call and put contracts expire worthless.
The Op-ex Price Magnet is the price where option delta and gamma are neutral.
This is where the big trading houses will maximize profit on or before option expiration day.
In November 2018, Bloomberg published an article which describes how crude oil "negative gamma" became a driving force behind a decline in the price of crude oil. Interestingly enough - while Bloomberg will highlight the importance of this information, even the Bloomberg terminal does not offer the unique data that our report provides. As a result, we are seeing growing institutional interest in our report.
After first publishing this report in February 2018, we wrote many public articles about our trading positions into option expiration. These articles give a historical account of how we profitably traded SPX option expiration five months in a row following the launch of this report.
Each day, subscribers to the full report receive a daily report reports the Op-ex Price Magnet, along with Upper and Lower Boundary levels, as shown in the table below.