Going into OPEX Friday main pivot remains at 1100. Upside target is at 1200, gamma inversion at 1020 surrounded by two put barriers at 1045 and 1000, which add support. A whooping 43% (48M) of our total gamma of 112M is expiring tomorrow, mostly around the 1100 strike. What does that mean? If gamma evaporates dealers have less hedging to do and therefore do not add liquidity to the markets. The level at 1100 points might therefore become less "sticky" and the sideway action could come to an end. However we do not know if and how gamma gets "rolled" and relocated, so stay tuned for another intraday update tomorrow. Cheers!
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