SpotGamma Report for: 05/27/2020 PM

Note:That was a pretty amazing session. As we noted this morning "instability" is the name of this game. We saw the open reverse and immediately trade down to 3000 (our High Gamma Strike), and once we pierced the Volatility Trigger (2990) there was an immediate selloff to 2065 in ES. The closing day ramp does […]