SPX could remain in "High Volatility Mode"

Updated

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.

Note

2900 held for a while then volatility kicked in. VIX +15% on the day.

Note

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.

Note

what a rip - right to 2935

Trade closed: target reached

SpotGammaModel

$SPX $SPY Options Gamma Modeling
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