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Informe GT Gamma Levels

Feb 27, 2020 | 0 Comentarios

Futures overnighted tested fresh lows of 3060 and have since move up a bit. There are a few charts circulating showing extreme put buying – the complete opposite of the extreme call buying we saw just last week. From a gamma perspective if the market moves lower we have some indications that gamma wont get more negative – it would basically stay flat. That probably isnt too terribly comforting, but its clear based on both the gamma tilt indicator and some of these other sentiment tools that a bounce in due and statistically we are approaching extremes. Thats not to say this all isnt warranted and selling will stop, simply our data driven view data driven view. Another interesting thing is that we have not seen the VIX make new highs despite a lower equity market. This would suggest to me that the lower market has been possibly driven more by natural selling than options. Options are also quite expensive now, and if you did want to play short then buyng puts may not be the best way considering the implied vol levels. We’re still watching VIX as our sign for a possible rally, as if it breaks trend it may be the most simple indicator of puts being closed, providing fuel for a bounce.


Event Time EST Actual Forecast Previous
Core Durable Goods Orders m/m 0.2% -0.1%
Durable Goods Orders m/m -1.5% 2.4%
Prelim GDP q/q 2.1% 2.1%
Pending Home Sales m/m 10:00am 2.8% -4.9%


Signal Name Latest Data Previous
SPX Ref: 3082.0 3111.0
VIX Ref: 28.66 27.46
Gamma Per Point: $-1,869,043,117.47 $-1,918,689,408.70
Zero Gamma Level: 3258.0 3269.0
Vol Trig: 3280.0 3295.0
High Gamma Strike Resistance: 3400.0 Size: 0/10 3400.0
Top Abs. Gamma Strike: 3000.0 3100.0
Put Wall Support: 3050.0 Size: 7/10 3100.0
Call Wall Strike: 3056.0 Size: 0/10 3056.0
CP Gam Tilt: 0.36 0.37
Net Delta: $-4,782,499,246.00 $-4,280,071,590.00


Model Forecast:
Intraday support/resistance levels (during high gamma periods): 3400.0, 3450.0, 3300.0, 3500.0, 3375.0

The Volatility Trigger has moved DOWN: 3280.0 from: 3295.0
SPX is below the volatility trigger. The 3258.0 level is first level of resistance and is critical as its the negative gamma threshold.
The trigger level of: 3280.0 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: $-1,869,043,117.47 from: $-1,918,689,408.70
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma typically peaks in this area, increasing odds of a rally.