It was the second highest volume day today in options behind February 28th, 2020.

The Russell outperformed the Nasdaq more than any other day on record.

A massive move in the far out of the money calls in the Russell ETF and component stocks fueled a morning spike in volatility as market makers who were short gamma covered.

Here's a chart of the 5 delta IV vs 75 delta IV in the Russell component stocks. At 97% this is the highest on record.

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Since November 2nd, the 5/75 delta skew has jumped and left market makers short out of the money calls.

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The Pfizer announcement this morning saying the COVID-19 vaccine is looking 90% effective, caught many off-guard and running to the futures to cover. The Russell 2000 future was up 7%, the most allowed premarket. Source Gunjan Banjeri of the Wall St Journal.

The Russell ended up 3.7% to the NDX - 1.5% or a difference of 5.2%, that is a record.

More reading...

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