S&P500 Market Gamma At a Pivotal Point

2019年11月30日

Since early October market gamma has been >$1bn and there has been a large concentration of call gamma to put gamma. As calls have been rolled the market was pulled up with it. There is significant open interest in the December monthly options expiration that may help set a trading range for December. Additionally there is an FOMC meeting on the 10th. Currently our options model points to a pin at 3150 and we await the next signal. We anticipate higher volatility (not a directional call) into year end following FOMC and OPEX.

spotgamma.com

2019年12月2日

交易結束：目標達成

gamma still quite high at ~$1.5bn looking for move toward 3150

2019年12月5日

交易結束：目標達成

new range established.