SpotGamma Report for: 01/20/2021 AM

Daily Note: Futures have held 3800 overnight after a quiet session. Data from yesterday show a small build in call positions, with 3800 still holding as the large "base".  Gamma notional levels remain quite light across all indicies, with 3775 reforming as the critical risk level, and 3850 the upside target. The SG index implies […]