SpotGamma™

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

SpotGamma Report for: 10/27/2020 PM

Daily Note: Futures couldn’t pull away from 3400 today but we’d note some weakness afterhours has futures testing the 3370 Zero Gamma line. The VIX was up slightly and SPX options volume was light at 790k contracts. We maintain that based on options hedging mechanics the upside into 11/3 is somewhat capped in the 3425 […]

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