S&P 500 Stock Market Gamma Trading Levels Based on Options Open Interest
SpotGamma Report for: 09/07/2021 AM
Daily Note: Futures are at 4533 after putting in fresh all time highs at 4548. Our SG implied range is at 0.73% suggesting a tight trading range today. While there was a decline in the SG gamma Index for SPX we point out that the gamma notional in SPY is 2x that of SPX ($1.1bn […]
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