What I haven't told you is that gamma also reacts in mysterious ways in relation to time, volatility, and distance to spot markets. But that must wait for another column. In the meantime, the gamma flip is supposed to happen at levels of roughly 3070 points in the S&P. Of course, it might just slowly fade away while we see new highs. If you read this column at some future date, we will know what has happened.
Thorsten Roland Wegener spent 20 years trading equity derivatives and was a partner at Bear Stearns. Currently, he teaches as well as cooking, driving, and cleaning lots.
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