With markets in modest negative gamma territory earlier this week, heading into Friday's $4.5 trillion OpEx - the largest September option expiration on record...
... we have rallied back into the peak long gamma territory, and Friday's 1-day change in S&P dealer gamma positioning is the largest on record according to Goldman's Derivative Sales traders. As a result of the record +$9bn day-over-day in gamma, positioning is now positive $8.5bn, which should provide an additional layer of (much needed) stability to the market at a time when the year's seasonals are the worst (2nd half of September) and the buyback blackout begins. Goldman expects this dynamic to stay in the market through month-end.
