Current gamma levels in SPX
- Markets & Mayhem
- Mar 1, 2022
- 1 min read
Exposure suggests that each 1% SPX move implies a $14.62B purchase or sale of S&P 500 futures. That is to say, a move 1% higher means dealers would purchase approximately $14.62B of futures, and vice versa during a sale. This has to do with delta hedging flows to ensure they are mitigating exposure risk.