Quick review of days events through the SpotGamma model lens. Most of the notes from the 8/26/19 stock market crash are included in the graphic below. Essentially our model viewed this event as follows: Trumps Tweet about China caused a quick market drop that was compounded by dealers who were short gamma. This caused them to have to sell quickly to hedge. 2850 seemed to be a stopping point in the selloff earlier this month, and our options tables show it as a significant level now, too.
SpotGamma provides daily ranges in the SPX which are calculated from the open interest in the S&P500. See here for a backtest.