Today's Triple-Witching options expiration is a big one with $6.5 trillion notional set to roll off the books. Adding to the large pain at 4pm expiration ($2.1 trillion) is the S&P 500 rebalance (which will spark huge volumes amid a highly illiquid trading environment)...
SpotGamma's modeling shows that a very high amount of call gamma is expiring on this event next Friday, which is destabilizing for the market and will lower market gamma considerably heading into the next week, which establishes a period of fragility for about a few days...
