@VolCurve brought up a great point today – ” Don’t mistake gamma hedging for strength.” It was an interesting example today of what looks like gamma hedging moving the market into the close. The market was quite weak today, but some force kept bringing us higher towards 3300 into the close. SPX options settle at the 4pm closing price, and the largest strike expiring today was….3300. Coupled with being the largest volume strike on the day, you can see we close at the afternoon high, only to see futures drift lower after 4pm.
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