SpotGamma™

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

SpotGamma Report for: 09/09/2020 AM

Note:Futures have recovered some this morning to 3365. Both the Vol Trigger and Zero Gamma line have shifted down to 3340, which is due to puts at nearly every strike >3370 being net closed. There was a sizeable addition to 3200 puts (~13k contracts) which is now the Put Wall. Note the OI Change Charts […]

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