S&P 500 Stock Market Gamma Trading Levels Based on Options Open Interest
SpotGamma Gamma Report 1/17/2020 PM
SPOTGAMMA REPORT Note: As a quick thought experiment consider if all of the Jan calls were simply closed, and not rolled. Assuming dealers are net long these calls, they would still have a lot of deltas to buy back. If you look at the action into the close both yesterday and today you get that […]
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