SpotGamma Report for: 11/30/2020 AM

Daily Note: Futures are around 3625 with quite a range in futures overnight. The session opened at 3650, then trended immediately lower over the next several hours to 3602. With this we note that the VIX (which was near post-Covid lows on Friday) has shifted up 1.5pts (~7%) to 22.30. The gamma flip area continues […]