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SpotGammaModel

S&P500 Market Gamma At a Pivotal Point

S&P 500 Index (SP:SPX)  
SpotGammaModel Updated   
SP:SPX   S&P 500 Index
Trend Analysis Support and Resistance Volatility S&P 500 (SPX500) SPDR S&P 500 ETF (SPY) es1
11
0
trendanalysis supportandresistance volatility spx500 spy es1
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
Trade closed: target reached:
gamma still quite high at ~$1.5bn looking for move toward 3150
Trade closed: target reached:
new range established.
$SPX $SPY Options Gamma Modeling
www.spotgamma.com
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