qqq - 5-7

7 May 2021

abs gamma strikes: [335, 330, 325, 320]

"The QQQ/tech complex still holds a lot of puts & negative gamma, which should invoke high volatility today. We mark 330 as support, and remind NQ/QQQ traders to respect the “vanna”, as implied volatility has such a large impact on puts. If markets do decide to rally today, you may get more upside in QQQ/IWM vs S&P because of that negative gamma position." "...dealers may have to buy back futures if QQQ rallies. Additionally we show a fairly impactful expiration (blue vs red line) which suggest that tonight’s expiration creates some additional dealer buying flows into Monday"