The afternoon: the book, the 7,610 break and the gamma hole

The afternoon of November 3 fits in forty minutes of order book: a 150-lot wall above the high of the day, buyers attacking it, the wall reinforcing then giving way, sixteen points in twenty minutes, and a gamma map rebuilding itself during the break. This lesson follows the film minute by minute, then reads the book at 4:47 pm and 4:48 pm, the break at 5:07 pm, and the gamma hole at 5:13 pm.

The book at 4:47 pm and 4:48 pm

At 4:47 pm, price is at 7,604.25, between a 150-lot sell wall at 7,610, just above the high of the day (7,608.75), and buyers of 65 to 78 lots resting at 7,600. Liquidity Tracker: 942 lots on the buy side, 899 on the sell side, gap +43. Visible window: 2.7K contracts, delta −40. A large print of 150 lots at 4:46:33 pm.