TEVA is up about 10% the last several days, with a lot of gamma concentrated at the $12 strike. Most of this (~60%) expires Friday, 1/15. We therefore have compression under the key level of $12 as out of the money calls decay and keep a lid on TEVA prices into 1/15 expiration.
Our EquityHub data highlights $12 as this key strike because there are both a lot of gamma located there (“Key Gamma Strike”) and our Hedge Wall. The Hedge Wall is where our model detects a significant shift in dealer hedging flows, which is why its implied to be a support or resistance level.
