S&P 500 Stock Market Gamma Trading Levels Based on Options Open Interest
SpotGamma Report for: 12/10/2020 AM
Daily Note: Futures are at 3675 after a quiet overnight session. Key levels remain the same as yesterday, but we note a large drawdown in S&P positive gamma ($2.5bn->$$1.5bn). This quick deterioration is the result of most of the SPX call positions being >=3700. Because most of these options are well above current SPX levels […]
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