SpotGamma™

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

SpotGamma Report for: 11/02/2020 PM

Daily Note: An interesting day today as we had a major move higher in SPX (+120bps) with NDX only +30bps and our FANG meter down 30bps. Options volume in SPX was unimpressive at 1mm contracts on a 1.4PC. Meanwhile the VIX was a 1.77PC ratio indicating the short volatility crowd was again actively positioning for […]

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