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SpotGammaModel

SPX could remain in "High Volatility Mode"

S&P 500 Index (SP:SPX)  
SpotGammaModel Updated   
SP:SPX   S&P 500 Index
Technical Indicators S&P 500 (SPX500) SPDR S&P 500 ETF (SPY)
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indicator spx500 spy
Based on an analysis of the open interest in the S&P500 (SPX) you find that under 2935 dealers are short gamma and will therefore be adding fuel to both rallies and selloffs (aka volatility). This may make it a more challenging environment to short options. Options expiration this week (Friday, 8/16) compounds volatility.
Comment:
2900 held for a while then volatility kicked in. VIX +15% on the day.
Comment:
$SPX $SPY there is larger call open interest in September - might indicate much has been rolled. Still lots of Put OI in August. if when that's rolled could be bull fuel. just need spark.
Comment:
what a rip - right to 2935
Trade closed: target reached
$SPX $SPY Options Gamma Modeling
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