Sell lows, chase highs pain is back
Good luck hedging short gamma
SPX futures basically flat here, but with some major intraday moves. As we pointed out earlier today (here), the market traded into rather deep short gamma at lows today, making dealers longer and longer deltas on the way down. Few of those just watch 60 points lower market and were most probably puking deltas close to lows. These same dealers became shorter and shorter deltas all the way up, and post the 75 points move higher from lows, a lot of forced buying has been executed. All this while we are unchanged on the day...