On Gamma and Put Writing

I could have chosen any OTM SPY put for this example, but this strike has seen high (open) interest.

When SPY was trading for $290, dealers were selling the $280 puts.  With gamma at a low, puts richly valued, and low-latency trading on June 25, the probability that those puts would expire ITM… was close to zero.  And those $3 puts are now valued at 25¢.