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futures selloff

Jan 27 2020

Zero Gamma Holds Again – Virus Edition

SPX price and volume chart above a net gamma plot with high volatility zone under 3275, 3200 put floor and 3300 call wall.

A combination of new regarding the Chinese virus spreading and Iraq being bombed sent futures lower on Monday AM. Oddly the low of the overnight session was 3237, which we calculated to be the zero gamma threshold. Remarkably the same thing occurred a few weeks ago on the eve of the Iranian bombing. Should the […]

Written by SpotGamma · Categorized: Market Analysis · Tagged: futures selloff, gamma trap, zero gamma

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