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2025-07-29 16:34:29
【Euro/dollar "Gamma" Game: A Secret War of Volatility】 ⑴ On the afternoon of July 29th Beijing time, the demand for gamma of euro/dollar foreign exchange options increased significantly in the past 24 hours, especially concentrated in put options. ⑵ Gamma measures the sensitivity of option delta to spot price fluctuations. The stronger the market volatility, the higher the gamma value. Traders holding long gamma tend to profit from realized fluctuations by adjusting spot positions. ⑶ Short-term options with maturities of less than one month and strike prices close to spot often have the highest gamma values. ⑷ With the approach of important risk events in the United States this week, such as the Federal Reserve's policy decision and Friday's non-farm payrolls data, the demand for such "gamma-rich" options has surged, and the recent rebound of the US dollar has further supported these contracts. ⑸ Implied volatility responded to this: the euro/dollar implied volatility jumped from about 7.0 to 8.0 in a week, and then briefly pulled back in the overall volatility sell-off. It has now rebounded to a high of around 8.75. ⑹ One-month implied volatility has also strengthened, rising from the tariff low of 7.3 on April 2 to 7.65 in the past 24 hours. ⑺ Given that the EUR/USD spot price is approaching the low of the range and there are many obstacles around 1.1500, if US data or Fed comments are positive for the dollar, the risk of stop-loss triggering a breakout is increasing, and gamma demand is therefore shifting to lower strike prices.
