- Long gamma continues to suppress volatility, although GJR-GARCH predicts a small increase in volatility on Monday.
- Current levels of long gamma exposure support MMs buying as prices decline and selling as prices rise.
- Estimated level where long gamma could flip to short gamma, accelerating selling and incentivizing CTAs to monetize profits: 3082-3065 (highest OI at 3075).
Implied Move (blue lines):
- 3185.00 High
- 3106.50 Low
In the absence of a macro shock:
- Level to sell calls (shaded red): 3200 (prob touch ~36%)
- Level to sell puts (shaded red): 3100 (prob touch ~56%) [past]
Current probability of price declining to gamma “flip” point at 3075 (shaded yellow): ~15%
Friday’s large lot trades:
- 1800 puts previously sold at 3100 partially covered (bearish)
- 2700 calls sold at 3200 at day’s high (bearish)