What a day… We had about $2.7 trillion worth of monthly options expire today - they’re off the books.
For all that, we’re back in the box. We’re down around 1.7% on the S&P 500, which isn’t a big deal in the grand scheme of things… because we’re still in the box.
We got to close out a 500% winner on an SPX butterfly, but still - the box.
There’s a lot of gamma risk out there in the marketplace, but other than that things didn’t really start getting interesting until today’s big sell-side activity, where we cracked below the lower edge of the SPX’s expected move.
Let’s get into what this all means and to look at the levels that count right now…