S&P 500 Stock Market Gamma Trading Levels Based on Options Open Interest
SpotGamma Report for: 05/08/2020 PM
The VIX decline inevitably pushed markets higher, particularly into the close. I read todays action as implied volatility getting crushed, which punishes VIX & put options. Not only do we think dealers are then short too many deltas, you have volatility rolling in the VXX/UVXY ETN complex. Together you get this price agnostic algo type […]
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