SpotGamma™

S&P 500 Stock Market Gamma Trading Levels Based on Options Open Interest

SpotGamma Report for: 04/13/2021 PM

Daily Note: Not much happening in equity markets today with the SPX closing -2bps, NDX -36bps and RUT -43bps. VIX was up slightly on the day to 16.91, and SPX options volume was solid at 1.2mm contracts. We anticipate this low volatility remaining into Fridays large OPEX wherein the estimate is for >20% of total gamma […]

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