SpotGamma(@spotgamma):Extreme Vol Lows: SPX 7790 0DTE straddle is $22.7/29bps (!!!) The last time it was this low: Xmas Eve when Captain Condor was merc'd The average daily move in the SPX over time is 68bps. If there is any risk to this market today, its this pricing of literally no movement...

SpotGamma

@spotgamma

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SpotGamma@spotgamma

2026.08.17 12:25

Extreme Vol Lows: SPX 7790 0DTE straddle is $22.7/29bps (!!!) The last time it was this low: Xmas Eve when Captain Condor was merc'd The average daily move in the SPX over time is 68bps. If there is any risk to this market today, its this pricing of literally no movement...