SpotGamma Report for: 01/25/2021 PM

Daily Note: The SPX manages to add ~30bps despite a very large ~60 handle drawdown this morning. Shortly after topping out at 3860 the market shed those 60 handles in about 20 minutes before retracing that move over the remainder of the day. Accordingly the VIX closed +1.2pts (5.8%), with SPX options volume high (1.3mm […]