Heisenberg posted an updated gamma note from Nomura, and we like to note them here versus SpotGamma data. Nomura posts a combined SPX/SPY figure whereas we break the data out. The note and charts sync with much of what we have been saying: That long gamma is still in control.
Last week, Charlie noted that more than a third of the total $Gamma across strikes was set to drop off following expiry. Had that not been rolled, it could have unshackled the market, allowing for larger directional moves. What the above visuals suggest is that the vol-dampening effect is still in in place – that dealers’ gamma profile is still long and should thereby help keep things anchored.
