After a strong overnight session, S&P has slumped since the European open, back in the red and hovering at a critical technical level for the week...
As SpotGamma details,a big point of conversation this week will be the quarterly JPM collar roll, which currently holds short calls at 4430(morehere). These calls expire and are likely rolled on 9/30 (Thursday) – an expiration which currently holds >20% of total SPX gamma. The size of this expiration likely invokes some volatility (i.e. gamma “unclenching”) in/around Thursday.
As you can see above the gamma tied to this 4430 strike is still less than that of 4400/4450, and we think this overall position provides decent support on any drawdown.
SpotGammanotes that the4500 Call Wall remains our upside targetfor this week.
For the downside it would take a pretty decent punch to break 4400.If 4400 is breached we think volatility expands drastically due to negative gamma.We anticipate 4400 being the critical support line into Thursdays expiration.
免责声明：本文观点仅代表作者个人观点，不构成本平台的投资建议，本平台不对文章信息准确性、完整性和及时性做出任何保证，亦不对因使用或信赖文章信息引发的任何损失承担责任。
