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Informe GT Gamma Levels

Ago 10, 2020 | 0 Comentarios

Futures are flat to Fridays close with little change in data over the weekend. The thing that catches my eye today is a continued lack of size overhead. The top 3 strikes by call OI are <=3300 which is likely Futures are flat to Fridays close with little change in data over the weekend. The thing that catches my eye today is a continued lack of size overhead. The top 3 strikes by call OI are <=3300 which is likely why we see the Delta Tilt spiking higher (ITM calls, with a higher market). As August Monthly OPEX is quite small OI we likely wont see much rolling which is one of the mechanical forces that helps build positive gamma month to month. Gamma Tilt has been driving higher too which is interesting as this is a measure of the call:put gamma ratio (whereas Notional gamma is call gamma – put gamma). As I dont see options positions growing in August this Tilt spike may be the result of a reduction in puts as opposed to addition of calls. Its something to keep an eye on, particularly as we approach that all time high.
Due to the fairly large combined SPX/SPY gamma we expect another mean reverting, lower volatility day. As mentioned earlier markets are within striking distance of the Feb. ’20 all time high in the SPX (~3390) which is in the area of the High Gamma Strike (3400).

For today we note large Combo bars at 3356 and 3330. This 3350 likely remains a key support/resistance area for the next several days.

Market Outlook:
3400 top of the range, 3200 bottom into August expiration.

Event Time EST Actual Forecast Previous
No events – – – –

Signal Name Latest Data Previous SPY NDX QQQ
Ref Price: 3346 3347 335 11102 271
VIX Ref: 22.85 22.21
SG Gamma Index™: 0.93 0.89 0.11 0.02 -0.00
Gamma Notional(MM): $749.00 $864.00 $926.00 $3.00 $-8.00
SGI Imp. 1SD Move: 0.91%, 30.0 pts, Range: 3316.0 | 3376.0
SGI 5 Day 3346.75 2.27% 3270.0 | 3422.0
Zero Gamma Level(ES Px): 3222 3255 —
Vol Trigger™(ES Px): 3190 3170 334 10425 271
High Gamma Strike Resistance: 3400 3400 335 10625 272
Top Abs. Gamma Strike: 3300 3300 335 11000 272
Put Wall Support: 3000 3000 334 10000 271
Call Wall Strike: 3400 3400 335 11400 272
CP Gam Tilt: 1.72 1.81 1.42 1.45 0.99
Delta Neutral Px: 3119.0
Net Delta(MM): $11,423.00 $11,167.00 $1,916.00 $296.00 $619.00
25D Risk Reversal
-0.07 -0.07 -0.07 -0.09 -0.08

Model Forecast:
Top Absolute Gamma Strikes:
SPX: [3350, 3300, 3250, 3200]
SPY: [335, 334, 333, 330]
QQQ: [272, 270, 260, 250]
NDX:[11400, 11000, 10625, 10000]
SPX Combo: [3356.0, 3406.0, 3329.0]
NDX Combo: [11140.0, 11051.0, 11096.0]
The Volatility Trigger has moved UP: 3190 from: 3170
SPX resistance is: 3400. Support is: 3300 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved DOWN: $748.67MM from: $864.00MM
Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5%
why we see the Delta Tilt spiking higher (ITM calls, with a higher market). As August Monthly OPEX is quite small OI we likely wont see much rolling which is one of the mechanical forces that helps build positive gamma month to month. Gamma Tilt has been driving higher too which is interesting as this is a measure of the call:put gamma ratio (whereas Notional gamma is call gamma – put gamma). As I dont see options positions growing in August this Tilt spike may be the result of a reduction in puts as opposed to addition of calls. Its something to keep an eye on, particularly as we approach that all time high.
Due to the fairly large combined SPX/SPY gamma we expect another mean reverting, lower volatility day. As mentioned earlier markets are within striking distance of the Feb. ’20 all time high in the SPX (~3390) which is in the area of the High Gamma Strike (3400).

For today we note large Combo bars at 3356 and 3330. This 3350 likely remains a key support/resistance area for the next several days.

Market Outlook:
3400 top of the range, 3200 bottom into August expiration.

Event Time EST Actual Forecast Previous
No events – – – –

Signal Name Latest Data Previous SPY NDX QQQ
Ref Price: 3346 3347 335 11102 271
VIX Ref: 22.85 22.21
SG Gamma Index™: 0.93 0.89 0.11 0.02 -0.00
Gamma Notional(MM): $749.00 $864.00 $926.00 $3.00 $-8.00
SGI Imp. 1SD Move: 0.91%, 30.0 pts, Range: 3316.0 | 3376.0
SGI 5 Day 3346.75 2.27% 3270.0 | 3422.0
Zero Gamma Level(ES Px): 3222 3255 —
Vol Trigger™(ES Px): 3190 3170 334 10425 271
High Gamma Strike Resistance: 3400 3400 335 10625 272
Top Abs. Gamma Strike: 3300 3300 335 11000 272
Put Wall Support: 3000 3000 334 10000 271
Call Wall Strike: 3400 3400 335 11400 272
CP Gam Tilt: 1.72 1.81 1.42 1.45 0.99
Delta Neutral Px: 3119.0
Net Delta(MM): $11,423.00 $11,167.00 $1,916.00 $296.00 $619.00
25D Risk Reversal
-0.07 -0.07 -0.07 -0.09 -0.08

Model Forecast:
Top Absolute Gamma Strikes:
SPX: [3350, 3300, 3250, 3200]
SPY: [335, 334, 333, 330]
QQQ: [272, 270, 260, 250]
NDX:[11400, 11000, 10625, 10000]
SPX Combo: [3356.0, 3406.0, 3329.0]
NDX Combo: [11140.0, 11051.0, 11096.0]
The Volatility Trigger has moved UP: 3190 from: 3170
SPX resistance is: 3400. Support is: 3300 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved DOWN: $748.67MM from: $864.00MM
Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5%