SpotGamma™

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

SpotGamma Report for: 08/15/2020 PM

Note:The SPX stayed in a tight range all session during an uneventful day. SPX volume was decent at 1mm contracts and a 1.6 PC ratio. We anticipate small drawdowns in gamma notional levels for Monday. There is little changed in our data picture: small SPX positions but a consistent push into single stock calls. SPX […]

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