Gamma exposure

Jason has looked at options data in recent weeks, which continues to be a short/medium term bearish factor for stocks. Gamma Exposure relative to average volume is incredibly high, which historically has been a good reason to worry about stocks. This suggests that even a little downside in stocks could lead to heavy sell orders. (For more details on Gamma Exposure, go here)

The last and only time Gamma Exposure was this high was from December 2019 - January 2020. While not a perfect signal for timing the market's top, stocks did crater 2-3 months later in March 2020.

We can divide Gamma Exposure by NYSE volume's 1 month average.

When the ratio was this high in the past, the S&P 500's returns over the next few weeks were more bearish than random:

Risk:reward for the S&P over the next week was quite bearish:

This was always bullish for VIX over the next week: