Matthieu Boisot, Head of Cross-Asset at J.P. Morgan's QIS, joins Eloise Goulder to discuss pivotal trends in trading. They delve into the explosive growth of short-dated options and levered ETFs, emphasizing the need for retail investors to track gamma for intraday moves. Boisot shares insights on the evolution of volatility alpha strategies and the intricate dynamics that shape today’s markets. The conversation highlights the challenges of simplifying trading strategies while exploring the future landscape for investors.
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insights INSIGHT
Gamma Imbalance Drives Intraday Moves
Intraday momentum or mean reversion in markets is largely driven by gamma imbalance in options trading.
Market makers short gamma exacerbate price moves by buying more on rises and selling more on falls during the day.
insights INSIGHT
Levered ETFs Amplify Gamma Exposure
Levered ETFs by nature create short gamma exposure because they must rebalance holdings as the underlying changes.
This dynamic adds to overall market gamma imbalance and contributes to intraday market moves.
insights INSIGHT
Rise of Short-Dated Options
Volume has shifted heavily to very short-dated options, including zero-day-to-expiry (0DTE) options.
These options carry extreme gamma, making their impact on intraday volatility complex to model and track.
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In this episode, Matthieu Boisot, head of Cross-Asset, Volatility and Intraday Product Development for Quantitative Investment Strategies (QIS), sits down with Eloise Goulder, head of the Data Assets and Alpha Group at J.P. Morgan. They explore the growth in both shorter-dated options and levered ETFs, as well as the participation of retail investors in these markets. They hence discuss the importance of tracking gamma in order to understand and position for intraday market moves. Finally, they discuss the extent to which intraday and volatility alpha strategies have evolved over time, and what the future could hold.
QIS Developments and the use of LLMs with Deepak Maharaj, Head of Equities and Cross Asset QIS Structuring – here
Extending the trend, with JP Morgan’s Lead CTA Structurer with Jagadish Chalasani, Investible Indices team– here
This episode was recorded on July 1, 2025.
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