S&P 500 Stock Market Gamma Trading Levels Based on Options Open Interest
SpotGamma Gamma Report for: 01/27/2020 AM
Futures are currently hanging around 3250 after bouncing at 3237 overnight. Remarkably 3237 is the zero gamma level on the SPX charts. Note the "volatility trigger" is where we calculate dealer "long gamma" to tail off - so dealers are still long gamma at 3275 but it tails significantly as the market heads lower. It […]
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