triple witching: increase long gamma

S&P 500 implied vol is too low for all the coming events such as Fed, ECB, BOJ, etc…

[Realized vol – implied vol] for the week of FOMC has been positive all year vs the previous last 3 years as shown in the chart below:

We recommend buying 2795 call 15-jun below 4 and put spread 2780/2760 below 4