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.
These levels represent a meaningful reduction from the implied 1% move equaling $36.49B of futures exposure repositioning just last week.
The concentration of puts at SPX 4,000, 4300, and 4400 are noteworthy, as is the call OI at 4400, 4450, 4500 and 4600. As we approach quad witching just about two weeks away, it's important to track the total gamma that's rolling off. We'll take a closer look at that as the date approaches.
At present the SPX gamma flip level is 4,483. This is taking in to consideration over 10,000 options on the SPX chain.
Because we are currently in negative gamma territory that exacerbates volatility because market makers are more likely to sell dips and buy rips as a part of their hedging. As a result we can see price movements amplified. If we get above that gamma flip level the inverse happens, which compresses volatility because market makers are selling rips and buying dips.
I've made some exciting updates to the gamma calculation script that allow me to process data for nearly any US index, ETF, or stock. In the not too distant future I'll be sharing gamma exposure data for the NASDAQ 100, Russell 2000, as well as select equity funds and stocks.