Viking Analytics

We help investors navigate machine-driven markets

Why DO our tools Provide an Edge?

Machine Trading is Primary

image10

The majority of financial market trading is performed by machines.  These computer algorithms are designed to arbitrage and hedge the markets along many different timeframes.

Machines Hedge Delta

image11

As market makers and large traders create positions, they will often arbitrage and hedge with delta-neutral portfolios.  These portfolios are instantaneously and dynamically adjusted in micro-seconds.

Option Expiration Creates Order Flow

image12

As option expiration approaches, the computer algorithms must unwind and roll forward their delta hedges.  This creates order flow which tends to create compression between market delta and market price.

Order Flow Can Lead to Mean Reversion

image13

Our historical data shows that the price of a stock index or commodity will often revert to the point of delta- and gamma-neutral.  The can be seen above as the convergence between the red and green lines prior to the option expiration date.

Gamma is a wild card

image14

The algorithms which actively hedge delta must also monitor their gamma exposure.   When market gamma spikes, market makers may be forced to buy or sell,  such as in the natural gas market (Oct 2018) and in the S&P index (Dec 2018).  

Bloomberg And Others Agree

image15

In November 2018, Bloomberg published an article which described how "negative gamma" was a catalyst in the large decline in crude oil prices in Q4.  While Bloomberg highlights the importance of this information, it cannot be found on the $25,000+ per year Bloomberg terminal.  

Our daily option sentiment report helps investors navigate machine-driven markets