Gamma, not fundamentals, drove Friday’s rally. The move higher was largely mechanical, as dealers adjusted hedges in a negative gamma regime.
Volatility fell for technical reasons, not risk resolution. The drop in the VIX reflected index gains and an implied volatility reset, not a meaningful reduction in forward risk. Liquidity drains and macro events complicate the path ahead. Treasury settlements and major economic reports raise the odds of renewed volatility after Monday.
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