Monday, March 2nd, 2026
Immediate shift in gamma surface at the open, with 605 emerging as the new max gamma strike. Tough session with elevated vol, ultimately resulting in no trades taken on stream.
Trade Info
- Number of trades: 0
Context & Trades
Our first stream with no trades!
We opened on the border of a gamma wall around 599, discussing that the wall itself had already shifted from 600 - VIX reached levels in the 23-24 region, and we said in the overnight session vol itself seemed to have a significant affect on the gamma surface, at times exposing 595 as potential max gamma for the session. Immediately at the open, the gamma surface shifted immediately and it was quickly clear that 605 was the new max gamma strike, with 600 and 595 as secondary gamma levels. There as a significant 'gamma pocket' between 600 and 605.
We discussed a possible trade was the 1min OR breakout targeting that 605 strike, which eventually did print within the first hour of trading, approximately the 24900 level on the March contract of MNQ / NQ. However, this massive 605 strike magnet caused quite some choppy price action near and after the end of the initial balance hour - any chance at relonging or scalping short was extremely tough. We discussed if this initial opening drive failed, that 600 strike / 25700ish on MNQ / NQ could be back in the cards, and with re-acceleration of volatility below that 595 could be a stretch target.
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