Our options metrics show that a range of 310/315 in the SPY is setup here as the market moves into several events Mid - December. We view the selloff earlier this week led by put buying which moved the market lower. Movement below 310 or above 315 may well be pressed back into the box until we move closer to the 12/15 tariff date. We calculate overall market gamma >$1bn with large open interest at both 315 and 310.
评论:
The market is retesting the high gamma strike of 315 (SPY)/3150(SPX). We're looking for the market to consolidate back into the range here. We don't have any market view past this friday (12/13) due to the weekends China tariff deadline.
交易结束：到达目标:
315 has done its work, now it looks like things are rolling higher.
$SPX $SPY Options Gamma Modeling
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