September has a few spurts of volatility, particularly around 9/20/21 September options expiration, and the 9/22 FOMC. One of the primary metrics we produce for traders is our “volatility trigger”, which defines where we believe options dealers position flips from a positive gamma position, to a negative gamma position. We’ve plotted out this level in […]
Archives for October 2021
SpotGamma Report for: 10/01/2021 PM
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SpotGamma Report for: 10/01/2021 AM
Daily Note: Large swings in futures overnight. Overnight lows were 4260 before ripping higher to 4315. As such we’ve rerun our models to reflect current ES levels. Regardless, as gamma is quite negative until SPX >4375 then there will be no stability in price. Key support is at 4302 with resistance at 4375, and 4400. […]
SpotGamma Report for: 10/01/2021 AM
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