Stock Market Risk Measures

US equity markets are experiencing extreme levels of gamma, dispersion, and low correlation, creating a fragile environment driven by single-stock option hedging.

Key Takeaways

• 1.US stock risk measures including correlation, dispersion, and gamma are in an extreme configuration signaling market fragility.
• 2.A gamma squeeze driven by single-stock call options and 0DTE trading is keeping single-stock volatility elevated while the VIX remains low.
• 3.The current market structure, characterized by low correlation and high dispersion, is highly sensitive to exogenous shocks.

Table of Contents

• Dispersion Is Very High While Correlation Is Very Low

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