SPX Gamma AM
Good morning!
Please consult the chart above for the most recent gamma levels. Total dealer gamma currently registers at 139MM, gamma "flips" at 4.485 (above = muted volatility, below = expect increased volatility).
I mentioned the strikes at 4510/4520 which are part of a JPM collar. The negative gamma at both strikes diminished overnight due to heavy call buying, which neutralized the put overhang and reduced their significance.
Please consult the chart above for the most recent gamma levels. Total dealer gamma currently registers at 139MM, gamma "flips" at 4.485 (above = muted volatility, below = expect increased volatility).
I mentioned the strikes at 4510/4520 which are part of a JPM collar. The negative gamma at both strikes diminished overnight due to heavy call buying, which neutralized the put overhang and reduced their significance.
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