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Gamma GT Levels

Feb 6, 2020 | 0 Comentarios

Another jump in futures overnight as they reach a high of about 3355 before consolidating. Our high gamma strike has moved to 3350, and one thing I find curious about the recent levels are the seem to be “lagging” the markets. Its quite unusual that the High Gamma Strike wouldnt gap up well ahead of the market as a “leading indicator” of sorts. Another intersting note is that total market gamma moved a bit lower, despite a higher market. Generally as the market moves higher total market gamma increases. This suggests to me that the options market isn’t quite in sync with this rapid move higher. There are a lot of calls at the 3400 strike which may well come into play should we move a bit higher – but at the moment the model prices 3350 as resistance.


Event Time EST Actual Forecast Previous
No events


Signal Name Latest Data Previous
SPX Ref: 3340.0 3335.0
VIX Ref: 15.29 15.24
Gamma Per Point: $1,962,888,390.07 $2,239,840,331.76
Zero Gamma Level: 3224.0 3235.0
Vol Trig: 3240.0 3240.0
High Gamma Strike Resistance: 3350.0 Size: 7/10 3350.0
Put Wall Support: 3100.0 Size: 5/10 3100.0
Call Wall Strike: 3350.0 Size: 7/10 3350.0
CP Gam Tilt: 2.41 2.56
Net Delta: $9,260,883,105.00 $9,352,061,964.00


Model Forecast:
Intraday support/resistance levels (during high gamma periods): 3350.0, 3400.0, 3375.0, 3325.0, 3360.0

SPX is above the volatility trigger, resistance is: 3350.0 No Current support until: 3100.0
If the market breaks 3240.0 it could spark selling as negative gamma kicks in.
The total gamma has moved DOWN: $1,962,888,390.07 from: $2,239,840,331.76
Gamma is tilted towards Calls, maybe indicating calls are expensive
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.