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Ultimo Informe GT Gamma

Feb 3, 2020 | 0 Comentarios

Futures have held solid gains overnight holding markets just above our zero gamma threshold. 3200 may be the most important level here, as there are a lot of put positions at that strike. They are going to provide “leverage” to whatever move we make here. If the market does make a move down through 3225 the gamma at those put positions increases, and may increase dealer selling through that 3200 level. Conversely if we rally and implied volatility (VIX) get crushed puts can be sold, causing dealers to buy back short hedges. Therefore we seem setup for a fairly large move here with fuel to push either way. 3300 is still the high gamma strike and resistance on a rally. 3260 (Volatility Trigger) and 3230 (Zero Gamma) should provide an “inner range” for a lower volume move, should that range break we look toward 3300 (High Gamma) and 3200 – thinking those “outer range” levels are tested fairly quickly.


Event Time EST Actual Forecast Previous
ISM Manufacturing PMI 10:00am 48.5 47.2


Signal Name Latest Data Previous
SPX Ref: 3240.0 3226.0
VIX Ref: 18.38 18.9
Gamma Per Point: $8,918,320.89 $-272,263,137.40
Zero Gamma Level: 3223.0 3225.0
Vol Trig: 3260.0 3270.0
High Gamma Strike Resistance: 3300.0 Size: 3/10 3300.0
Put Wall Support: 3200.0 Size: 3/10 3200.0
Call Wall Strike: 3300.0 Size: 3/10 3300.0
CP Gam Tilt: 1.0 0.9
Net Delta: $4,063,211,804.00 $3,295,325,452.00


Model Forecast:
Intraday support/resistance levels (during high gamma periods): 3300.0, 3350.0, 3400.0, 3325.0, 3375.0

The Volatility Trigger has moved DOWN: 3260.0 from: 3270.0
SPX is below the volatility trigger. The 3200.0 is first level of support.
The trigger level of: 3260.0 will act as overhead resistance.
Watching VIX is key, if volatility comes in dealers will start to buy back shares as their short puts lose value. This could start a rally.
The total gamma has moved has moved UP: $8,918,320.89 from: $-272,263,137.40
Gamma is tilted towards Puts, may indicate puts are expensive
Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5%