S&P 500 Stock Market Gamma Trading Levels Based on Options Open Interest
SpotGamma Report for: 06/11/2020 AM
Note:Futures are down sharply this morning, having started to sell after the cash close and are now around 3135. Our key levels did not shift as much as I expected with ZeroGamma around 3085 little change in the SG Index. Notional gamma levels did reduce but mainly due to the shift in underlying price (as […]
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