Futures surged overnight and holding gains after the cash market open this morning, having bounced almost to the tick off the ‘bear market’ trigger levels for the S&P 500.
As SpotGamma warns, outside of the very large 4000 strike, the call positions remain light. We note that in particular the strikes above hold little in the way of call gamma, and so there is little to offer resistance above 4000.
It just seems like the market is “full up” on downside protection, and chasing higher IV’s/short-sale risks remain high (ie. you can get face-ripping rallies here).
This is just a very lopsided, unbalanced market. It seems like no one is looking to buy as shown below. This plots aggregate call & put volume