Via Heisenberg, here is Nomuras Gamma View after the Rally. They note the following:
“[The SPX was ]gravitationally pulled higher (spot 2970) and now sits comfortably between the two large $Gamma upside strikes of 3000 ($3.7B) and 2950 ($2.5B)”…“As the bullish macro catalysts have indeed begun materializing, the various hedge expressions (VIX upside, S&P downside, Short Spooz) are being lit on fire, while buyside too is obviously seeing hedges go ‘wrong way’”, he writes, adding that “expiry [is] approaching next week and a ‘power decay’ [is] coming”.
Note these are levels we calculate on a daily basis and make available on our home page.
