SpotGamma Report for: 03/29/2021 PM

Daily Note: As anticipated todays session was quiet with the SPX & QQQ closing flat, but IWM/RUT -2.8%.  This was a prototypical "high gamma day" with mean reversion occurring at large open interest levels (~3950, ~3975). The VIX was one curious element, closing +10% on the day. SPX options volume was big at 1.3mm contracts […]