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Informe GT Gamma Levels

Ago 5, 2020 | 0 Comentarios

Futures push higher to ~3315 and we show the VIX testing 23. The other day we mentioned the breakdown in realized volatility, and that seems to have picked up steam given the “pin” type movement of the last few days (chart). This may of course impact implied volatility and could continue to be a tailwind for stocks.
As mentioned last night, the conundrum is the High Gamma Strike which remains at 3300. Any push beyond that suggests the market is overextended and is pushing beyond the indicative options range. 3350 is building, but needs solid volume today to overtake 3300. What I find interesting is that SPY and Q’s are both above their High Gamma Strikes too. If you cut to the basics on what this suggests, its that there are a lack of overhead calls in SPX/SPY/QQQ. Of course markets can rally on, but our data would disagree. Single stock call positions do continue to build and are approaching previous highs from July – so this may be a driver.

Two admin items:
1)We are working on the Ninja/NQ file issue. Apologies for the delay here.
2)There will be more info on the Equity Hub (pricing, trial) for subs tonight.

 

Market Outlook:
3300 is the target for August, with 3200 key support.

 

Event Time EST Actual Forecast Previous
ADP Non-Farm Employment Change 8:15am 1200K 2369K
ISM Non-Manufacturing PMI 10:00am 55.0 57.1
Crude Oil Inventories 10:30am -3.4M -10.6M

 

Signal Name Latest Data Previous SPY NDX QQQ
Ref Price: 3311 3299 330 11123 270
VIX Ref: 23.76 23.76
SG Gamma Index™: 0.60 0.65 0.08 0.02 -0.00
Gamma Notional(MM): $718.00 $671.00 $885.00 $3.00 $49.00
SGI Imp. 1SD Move: 0.98%, 32.0 pts, Range: 3279.0 | 3343.0
SGI 5 Day 3283.0 | 0.0243 3231.0 | 3391.0
Zero Gamma Level(ES Px): 3221.0 3177.0
Vol Trigger™(ES Px): 3170 3170 328 10150 265
High Gamma Strike Resistance: 3300 3300 330 10625 270
Top Abs. Gamma Strike: 3300 3300 330 10625 270
Put Wall Support: 2900 2900 310 10000 250
Call Wall Strike: 3300 3300 330 10625 270
CP Gam Tilt: 1.71 1.67 1.41 1.53 1.06
Delta Neutral Px: 3086.0
Net Delta(MM): $10,719.00 $10,906.00 $1,808.00 $282.00 $586.00
25D Risk Reversal -0.08 -0.08 -0.08 -0.08 -0.08

 

Model Forecast:
Top Absolute Gamma Strikes:
SPX: [3300, 3250, 3200, 3100]
SPY: [330, 325, 320, 310]
QQQ: [270, 265, 260, 250]
NDX:[11400, 11000, 10625, 10000]
SPX Combo: [3319.0, 3369.0, 3342.0]
NDX Combo: [11159.0, 10947.0, 11192.0]
SPX is above the Volatility Trigger™, resistance is: 3300 Support is: 3300
The total gamma has moved has moved UP: $718.00MM from: $671.00MM
Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5%