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Feb 21, 2020 | 0 Comentarios

Total gamma moves lower overnight to $1.3bn firming up our belief that 3350 is holding the line between “buy the dip” and “may not bounce”. Zero gamma seems to set in around 3300 which is obviously a substantial move lower and statistically unlikely for today given that gamma is still >$1bn. As there are a large amount of options expiring at the open there may be some strange futures movements into the opening bell. It does not appear much of Feb was rolled, particularly at 3375. That 3375 is our upside target, with 3400 still the larger overhead resistance. We are looking for a fair amount of volatility to start the day, and would note that SPY has decent size for the PM expiry with the bulk concentrated around 335 which could come into play into the close. I would note that this reduction in total gamma is certainly concerning and does not support the bull case, it seems that the market has been consistently adding back hedges which increases negative gamma. Because of the size at 3375 expiring today gamma levels could shift in pretty decent size, making it a bit tough to predict post OPEX levels. At the moment it does appear the stage is set for some decent volatility.


Event Time EST Actual Forecast Previous
Flash Manufacturing PMI 9:45am 51.5 51.9


Signal Name Latest Data Previous
SPX Ref: 3361.25 3367.5
VIX Ref: 16.74 15.56
Gamma Per Point: $1,344,667,731.14 $1,493,139,296.72
Zero Gamma Level: 3294.0 3283.0
Vol Trig: 3295.0 3285.0
High Gamma Strike Resistance: 3400.0 Size: 7/10 3400.0
Top Abs. Gamma Strike: 3375.0 3375.0
Put Wall Support: 3250.0 Size: 6/10 3250.0
Call Wall Strike: 3400.0 Size: 7/10 3400.0
CP Gam Tilt: 1.68 1.86
Net Delta: $8,362,720,586.00 $8,690,668,003.00


Model Forecast:
Intraday support/resistance levels (during high gamma periods): 3400.0, 3450.0, 3375.0, 3500.0, 3425.0

The Volatility Trigger has moved UP: 3295.0 from: 3285.0
SPX resistance is: 3375.0 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved DOWN: $1,344,667,731.14 from: $1,493,139,296.72
Positive gamma is high. Markets tend to have little movement (Average High/Low Range of SPX PX = 0.50%) and markets tend to be mean reverting.