S&P 500 Stock Market Gamma Trading Levels Based on Options Open Interest
SpotGamma Report for: 03/11/2021 AM
Daily Note: Futures have pushed higher into 3925. The S&P now holds a fairly robust level of gamma ~$1.5bn which is ~70% SPY. As mentioned in last nights note the data suggested the "center" of options neutrality shifting a bit higher towards 3925, but along with that we read dealer mean reverting flows as larger […]
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