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

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Dec 20 2019

Nomuras Gamma Model 12/23/19

We like to post Nomuras model snapshot here to compare against ours. Our volatility neutral indicator is lower, but the top matches. Some of this may be explained by Nomura combining SPY and SPX.

Nomura Options Gamma Model
SpotGamma options gamma model.

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Written by SpotGamma · Categorized: Market Analysis · Tagged: gamma flip, market gamma, mcelligott, nomura

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