The market got collared, today …traders selling calls and buying puts. This accounted for the negative gamma exposure, intraday.
When the market rises sufficiently to be considered over-valued and, at the same time, traders are long volatility – traders sell calls which produce negative delta. Short calls also produce negative gamma. To insure against downside risk, puts are bought. Buying puts produces negative delta.
So, we took out Friday’s high and then the stage was set for call writing and put buying. Currently a 75% chance we’ll touch the low end of the week’s expected range at 2908 and a 40% shot at the high end of expected (2995).