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3700 is the big long gamma level. As we have written over past sessions, sticky long gamma and very small realized volatility is creating a frustration among dealers experiencing the theta bleed. Vols are down, but realized vols are down even more.
Sudden moves like the late session Pfizer move yesterday was met with buying as long gamma must be hedged. Same works should we spike higher, especially into the 3700 area, long gamma dealers need to sell deltas.
With few strong narratives and sticky gamma, theta frustration continues for longer...
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