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SpotGamma

@spotgamma

We analyze the options market. Daily Research: spotgamma.com YouTube: youtube.com/c/spotgamma?su… Disclaimer: spotgamma.com/model-faq/disc…

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linkhttp://spotgamma.com calendar_today31-07-2019 20:03:40

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at 9:30AM ET tomorrow I will be forced to agree... still - SPX call skew in +80th percentile has nothing to do with OPEX just people wanting to buy calls at highs

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Today we see a big 0DTE put position at 5,875 - could be an accelerant if $SPX loses 5,900. We recently wrote an analysis of how 0DTE can move markets: spotgamma.substack.com/p/how-0dte-opt…

Today we see a big 0DTE put position at 5,875 - could be an accelerant if $SPX loses 5,900.

We recently wrote an analysis of how 0DTE can move markets:

spotgamma.substack.com/p/how-0dte-opt…
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I don't know if this selling continues, but I don't think that vol is priced for the liquidity environment which allows an 82 handle drop in 30 mins. to me, this makes very short dated tails have more value than what the market prices - ex i bought the Friday 5700 x 5600 put

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here is an example of how 0DTE can help bounce/hold up the market - albeit small but liquidity is trash the 5875 was dealer short 10k puts, now only -6k

here is an example of how 0DTE can help bounce/hold up the market - albeit small but liquidity is trash

the 5875 was dealer short 10k puts, now only -6k
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in our recent OPEX Effect, Jack Forehand and i discussed the link between terrible liquidity and high vol/VIX. Remember VIX 60 in aug then another +60 mark in april youtu.be/1JiWQdx80WE?si…

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$SPX GEX curve shows as flat below here at the moment.. Why? because no one owns puts, as you've all been chasing the other tail recently. In $SPY - well thats a different story.

$SPX GEX curve shows as flat below here at the moment..

Why? because no one owns puts, as you've all been chasing the other tail recently.

In $SPY - well thats a different story.
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I write, maybe not well, but I write a lot. Today has already been 2 hours. Enjoy. dashboard.spotgamma.com/foundersNotes/…

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$SPX $SPX 0DTE delta accounts for a MASSIVE positive delta push today. In fact this is the largest positive S&P delta reading over the past 30 days. 0DTE = teal all exp flow = purple

$SPX $SPX 0DTE delta accounts for a MASSIVE positive delta push today. 

In fact this is the largest positive S&P delta reading over the past 30 days.

0DTE = teal 
all exp flow = purple
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odd to see fixed strike vol higher this AM across all tenors. es spiked on the judge tariff ruling giving a bullish read on the event...this feels like it contradicts that impulse.

odd to see fixed strike vol higher this AM across all tenors. 

es spiked on the judge tariff ruling giving a bullish read on the event...this feels like it contradicts that impulse.