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Informe GT gamma levels

Jul 27, 2020 | 0 Comentarios

Futures are a bit higher this morning to 3220 which is near the highs of Friday. Gamma levels are little changed for today leaving us in a similar position to the end of last week. We did see a small buildup of puts in the latest data change, with 3100,3150 and 3200 each adding around 10k contracts. The call side didnt feature much, but 3300 did pick up about 7k. Given the volatility we’d of course be looking for something a bit more material – but ~10k contracts may be enough to move the needle these days. In summary despite the move lower and market testing our “Zero Gamma” area, there was little panic (or of anything else) in SPX options

For if you look at the Combo chart you can see we have another band of resistance from 3220-3250 indicating again that we may need some strong buying flow to push through that area. It appears markets will have a bid to start the day, and if the VIX drops that should add to upside pressure with 3243 the top Combo level. To the downside we are still watching 3200 as the major level and would anticipate a large move lower should that break. Today may be fairly quiett though as there are a slew of catalysts later this week: another Stimulus bill, FOMC Wednesday, and have AMZN & AAPL reporting Thursday night.

Market Outlook:
August positions are very light with largest positions appearing around 3000 and 3300. This range will consolidate next week as new positions build.