This is a very complex option position on the US SP500.
With the volatility so low and tight volatility conditions make it very cheap and easy for institutions to build a gamma trade (I will not bore you with details).
It works like a spring…..there is a lot of crowded trade on the upside and with a gamma trade you can unleash hell and make really a lot of money with tiny risk. It is a perfect trap.
It can be used up or down – but as the market and crowded trades are up – it will be most likely down.
In two words: a trap! You have to watch out Vix level 12.5 and 14. The worst case scenario is Vix 28 (I do not think so and hopefully I am right!)
investorpolitico 