SpotGamma Report for: 03/26/2021 AM

Daily Note: Futures are flat to last nights close at 3909. We anticipate another day of relatively high volatility, particularly in QQQ/IWM which hold a lot of negative gamma. 3900 remains the largest gamma strike in SPX, with our negative gamma flip line at 3890. Risk is high if this level is broken, with 3850 […]