SpotGamma Report for: 02/24/2021 AM

Daily Note: Futures are near 3880, off of 3850 overnight lows. We noted several times here that "volatility of volatility" will be a key theme this year and that seems to be manifesting.  The velocity of yesterdays move, particularly at the open seemed remarkable. The SPX covered ~65 handles in ~30 minutes. 3900 holds as […]