Skew indexes

Dec 22, 2023

∙ Paid

Good morning everyone, i will do 2 posts today.. the second one is pre PCE data with FX update.

Let’s start with NVDA OTM 1M SKEW

The skew has slightly decreased as IV in OTM CALL options has lowered since 500C Jan24 remains the gamma wall.

Gamma

Alessio