Will Lower Volatility Lead To No-Man's Land?
SPX dealer gamma nearing 1B after record week
According to Goldman Sachs, heading into last week's OPEX, dealer gamma positioning on the SPX increased $9b - an all-time 1-day high.
We remain positive gamma by $850m as of today's session. However, this record long gamma position will largely roll off by the end of the week and a huge gamma expiration at the 570 strike Monday, Sept. 30.
Here, I went over how 570 would have acted as a price magnet prior to the 150 pt rip in SPX.
Nevertheless, positive gamma is indicative to lower volatility as dealers provide liquidity byselling rips and buying dips.
