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Informe GT Gamma Levels

Jul 31, 2020 | 0 Comentarios

Futures couldnt punch through 3265 and remain flat to yesterdays close. We see FB/AAPL/AMZN and NQ all indicating higher this AM so this should be an interesting open. Lately the Combo chart has been showing pretty clear “paths” in the S&P. This isnt to say its giving as the direction, but its helping to map levels/resistance given a directional move. For example we had seen bands of resistance in the 3225-3250 area earlier this week, and that cleared yesterday to show one large bar at 3224 and then 3260. Today we see one large bar at 3264 and some lighter resistance above to 3300. Note that (based on the Combo chart) under 3260 there is little in the way of large strikes which may function as support. Needless to say we’ll be watching ~3264 quite closely today and mark that as the key pivot line.

The tricky part here is all of this gamma expiring tonight in SPY, QQQ and single stocks. Last night we mentioned this possible negative gamma position in Q’s and FANG which infers that if the market does push higher dealers will buy stock, of course if the market goes down they’ll be sellers. This is volatility expansion. The other dynamic here is that much of the FANG position that expires tonight is in calls. These options will have had a large IV drop after earnings, but also high rates of decay as the morning moves on. Its a picture as clear as mud! This may manifest in some jumpy action at the open and then form into a trend day. The theory here being that negative gamma will fuel the trend. Clearly these names are poised to start higher, but if they stay flat to lower after the initial pop then all those calls burn up and could lead to dealers selling off hedges. I think a great example of this was TSLA post earnings.

For today the data seems to suggest decent volatility (SG implied move ~1%). That large SPX bar at 3264 we watch as a pivot, with 3300 the top. Below, 3250 does have some support but we dont see much else down to 3200. Due to expiration it may be helpful to watch key SPY levels into the close which show at 330/325/330.


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.


Event Time EST Actual Forecast Previous
Core PCE Price Index m/m 0.2% 0.1%
Personal Spending m/m 5.3% 8.2%
Chicago PMI 9:45am 44.0 36.6
Revised UoM Consumer Sentiment 10:00am 72.9 73.2


Signal Name Latest Data Previous SPY NDX QQQ
Ref Price: 3257 3267 323 10691 261
VIX Ref: 24.76 24.76
SG Gamma Index™: 0.46 0.56 0.07 0.01 -0.06
Gamma Notional(MM): $598.00 $620.00 $199.00 $2.00 $-317.00
SGI Imp. 1SD Move: 1.13%, 37.0 pts, Range: 3220.0 | 3294.0
SGI 5 Day 3231.25 | 0.0227 3183.0 | 3331.0
Zero Gamma Level(ES Px): 3168.0 3146.0
Vol Trigger™(ES Px): 3170 3170 324 10175 263
High Gamma Strike Resistance: 3300 3300 330 10625 270
Top Abs. Gamma Strike: 3200 3200 325 10625 250
Put Wall Support: 2900 2900 315 10000 250
Call Wall Strike: 3300 3300 330 10625 270
CP Gam Tilt: 1.55 1.62 1.09 1.25 0.74
Delta Neutral Px: 3097.0
Net Delta(MM): $10,752.00 $10,720.00 $1,708.00 $260.00 $576.00
25D Risk Reversal -0.08 -0.08 -0.07 -0.08 -0.08


Model Forecast:
Top Absolute Gamma Strikes:
SPX: [3300, 3250, 3200, 3100]
SPY: [330, 325, 320, 310]
QQQ: [260, 257, 255, 250]
NDX:[11000, 10625, 10025, 10000]
SPX Combo: [3316.0, 3264.0, 3307.0]
NDX Combo: [10781.0, 10705.0, 10879.0]
SPX resistance is: 3300. Support is: 3200 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved DOWN: $597.78MM from: $620.00MM
Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5%