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S&P 500 Stock Market Gamma Trading Levels Based on Options Open Interest

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Founders Note

Dec 20 2022

Founders Note for: 2022-12-20 07:20 AM EST

Area chart of Implied Vol Mid falling from near 27 to 22.28 from Dec 13–19, 2022.

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Written by SpotGamma · Categorized: Founders Note

Dec 19 2022

Founders Note for: 2022-12-19 15:30 PM EST

ES1! candlestick chart showing a decline from 3896 to 3828 with a red dashed line at 3886 and ESH2023 at 3845.50.

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Written by Renato Capelj · Categorized: Founders Note

Dec 19 2022

Founders Note for: 2022-12-19 07:02 AM EST

Bar chart of SPX put open interest change and volume traded by strike from 3470 to 4235 with large negative bar near 4010.

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Written by SpotGamma · Categorized: Founders Note

Dec 16 2022

Founders Note for: 2022-12-16 15:32 PM EST

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Written by SpotGamma · Categorized: Founders Note

Dec 16 2022

Founders Note for: 2022-12-16 07:13 AM EST

The bar chart of SPY next expiration absolute gamma shows a large call gamma spike at the 390 strike for 12/16 OPEX.

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Written by SpotGamma · Categorized: Founders Note

Dec 15 2022

Founders Note for: 2022-12-15 15:32 PM EST

SPX 1-minute candlestick chart with red gamma strike lines at 4050, 4000, 3960 and 3900.

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Written by SpotGamma · Categorized: Founders Note

Dec 15 2022

Founders Note for: 2022-12-15 05:56 AM EST

A bar chart titled Abs Gamma SPX shows teal put and black call gamma from 3600-4200 with large negative put spike near 4005.

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Written by SpotGamma · Categorized: Founders Note

Dec 14 2022

Founders Note for: 2022-12-14 15:34 PM EST

Bar chart of S&P 500 volume % expiring within 24 hours by quarter, 2010-2022, rising to over 40%.

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Written by SpotGamma · Categorized: Founders Note

Dec 14 2022

Founders Note for: 2022-12-14 06:59 AM EST

A line chart of SPX annual volatility from Dec 2022 to 2027 dropping from 50% to about 22% with a red box around early 2023.

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Written by SpotGamma · Categorized: Founders Note

Dec 13 2022

Founders Note for: 2022-12-13 15:32 PM EST

Green and red bars show call and put volumes by strike from 3800-4200, totaling 518969 calls (51%) and 551265 puts (43%).

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Written by SpotGamma · Categorized: Founders Note

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