SPX Gamma Noon Update
The SPX behaves exactly as one would expect in a negative gamma scenario and we are happy that we were able to make the cautious call already three days ago.
Net gamma stayed roughly the same compared to our late EOD analysis yesterday, but the distribution changed notably: While gamma at ATM strikes improved (less negative), gamma at OTM strikes decreased markedly. For example: AT 4100 we have now -43M, and at 4000 minus 42M are located. Some traders apparently betting on/hedging against a big drop..
Check out my Twitter for more fundamental charts which are hard to post over here.
Good luck!
Net gamma stayed roughly the same compared to our late EOD analysis yesterday, but the distribution changed notably: While gamma at ATM strikes improved (less negative), gamma at OTM strikes decreased markedly. For example: AT 4100 we have now -43M, and at 4000 minus 42M are located. Some traders apparently betting on/hedging against a big drop..
Check out my Twitter for more fundamental charts which are hard to post over here.
Good luck!
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