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Informe GT Gamma Levels

Ago 12, 2020 | 0 Comentarios

Futures recover a bit overnight to the 3350 area but there are some big changes in levels. First we saw the Zero Gamma level shift to 3290 which reinforces our thought that 3300 has to hold. You’ll see that notional gamma values were all heavily slashed with Q’s particularly in the red. One thing that catches my eye this morning are the OI change metrics here. Strangely we saw IN THE MONEY calls net closed, but no puts net closed. Very curious that into all time highs we see call positions closed at ~3100-3275. I would have thought some puts would be closed/rolled out, but it was net additions across the board. It would be quite curious to cross refence these ITM call closings and some of those futures prints from yesterday.
A second thing to note is that the large Combo areas are all >3360 with only two relatively small bars below at ’37 and ’13. What this implies is positive but light support into 3300. There are large gamma areas at 3250 and 3200 which may help provide some stops *if* a larger selloff ensues. As mentioned yesterday we still see the bull trend intact until a break of 3300.

For today we still do have some positive gamma with 3300 key support. Overhead resistance is 3350 and 3363.

 

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

 

Event Time EST Actual Forecast Previous
CPI m/m 8:30am 0.3% 0.6%
Core CPI m/m 0.2% 0.2%
Crude Oil Inventories 10:30am -3.4M -7.4M

 

Signal Name Latest Data Previous SPY NDX QQQ
Ref Price: 3347 3336 334 10942 265
VIX Ref: 24.03 24.03
SG Gamma Index™: 0.71 0.88 0.04 0.01 -0.04
Gamma Notional(MM): $513.00 $529.00 $486.00 $3.00 $-335.00
SGI Imp. 1SD Move: 0.85%, 28.0 pts, Range: 3319.0 | 3375.0
SGI 5 Day 3352.5 2.32% 3269.0 | 3425.0
Zero Gamma Level(ES Px): 3289 3245
Vol Trigger™(ES Px): 3210 3210 334 10425 267
High Gamma Strike Resistance: 3400 3400 340 10625 275
Top Abs. Gamma Strike: 3300 3300 330 10625 260
Put Wall Support: 3000 3000 320 10000 260
Call Wall Strike: 3400 3400 340 10625 275
CP Gam Tilt: 1.39 1.48 1.18 1.37 0.73
Delta Neutral Px: 3119.0
Net Delta(MM): $11,442.00 $11,148.00 $1,986.00 $290.00 $625.00
25D Risk Reversal -0.08 -0.07 -0.08 -0.1 -0.09

 

Model Forecast:
Top Absolute Gamma Strikes:
SPX: [3350, 3300, 3250, 3200]
SPY: [335, 330, 325, 320]
QQQ: [270, 265, 260, 250]
NDX:[11000, 10700, 10625, 10000]
SPX Combo: [3414.0, 3363.0, 3387.0]
NDX Combo: [11125.0, 10906.0, 10786.0]
SPX resistance is: 3400. Support is: 3300 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved DOWN: $513.07MM from: $529.00MM
Gamma is tilted towards Puts, may indicate puts are expensive
Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5%