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.
www.spotgamma.com
www.spotgamma.com
Đóng lệnh: đạt mục tiêu:
gamma still quite high at ~$1.5bn looking for move toward 3150
Đóng lệnh: đạt mục tiêu:
new range established.
$SPX $SPY Options Gamma Modeling
www.spotgamma.com
www.spotgamma.com