S&P 500 Stock Market Gamma Trading Levels Based on Options Open Interest
SpotGamma Report for: 01/06/2021 PM
Daily Note: Quite a day today, with SPX shooting higher off of the back of a VIX crush. We think this was a strong "vanna rally" as implied volatility dropped sharply, inducing short covering, which drew other market buyers. The velocity of this move slowed significantly around 11AM, and we more or less trended flat […]
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