SpotGamma™

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

SpotGamma Report for: 08/17/2020 PM

Note:The S&P was able to add another 50bps today as we grind up towards that 3400 level. There remain some insane moves in single stocks with the likes of TSLA +11% and OSTK +22% amongst others. This leads into a note from Nomuras Charlie McElligott:"“SPX/SPY options $Delta remains historically very high at 94th %ile (since […]

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