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GammaLab
Nov 24, 2021 1:54 AM

DAX Gamma EOD  

DAX IndexXETR

Description

Lets keep this simple: DAX is clearly in negative gamma territory with vol jumping 2 points to over 19, a level last seen October 12th. Main put strike at 15200 with minus 11M gamma notional, main call strike at 16600 with 9M gamma notional. Total gamma decreased Monday by 25M to minus 18M - a clear indication that vol is about to expand/stays elevated.
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