Tomorrow 200M gamma notional is expiring in the SPX option complex, which represents about 30% of total gamma (678M). Most of the expiring gamma is located at the 4725 strike (84M), followed by 4720 (48M) and 4715 (22M). As of now we do not know if that junk is getting rolled higher or lower, but in general we can assume less gamma which equals more volatility. Between 4630 and 4640 we have a solid put barrier with an aggregate of minus 60M gamma notional, what should add support. Note that gamma inversion happens just right under this level. If we slice through that band we are up for trouble. Also quite interesting is the "air pocket" between the current price and said put band. If we do not push higher "into the gamma" above 4720 we could therefore trade downwards pretty quickly. Cheers!
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.