SpotGamma™

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

SpotGamma Report for: 11/11/2020 AM

Daily Note: As anticipated SPX held a pretty tight range today to close unchanged, with higher volatility rolling through RUT(+1.8%) and NQ(-1.8%). SPX options volume was quite light at 800k and with a put heavy 2.0PC ratio. We don’t anticipate much change in levels overnight, and are starting to shift our focus on the 11/20 […]

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