S&P 500 Stock Market Gamma Trading Levels Based on Options Open Interest
SpotGamma Report for: 04/12/2022 AM
Daily Note: Futures are holding yesterdays close, currently near 4405. This is off of overnight lows of 4382, and highs of 4412. This move obviously foists a larger negative gamma position on markets, which expands our SPX volatility estimate to 1.27% (open/close). Note that negative gamma is SPY & QQQ is quite large, which signals […]
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