S&P 500 Stock Market Gamma Trading Levels Based on Options Open Interest
SpotGamma Report for: 08/20/2020 AM
Note:Futures put in a low of ~3345 overnight and have recovered to ~3365. Gamma notional levels all declined, but the somewhat shocking reduction was in SPY which is now nearly zero from >$1bn yesterday AM. The Zero Gamma flip point remains around 3275, but we mark 3300 as the level that must hold to maintain […]
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