|Levels are little changed with the exception of 3350 which becomes the largest “Absolute” gamma strike. This is now the largest level going into Fridays August Monthly expiration. We’re really quite coiled now between 3350 and the 3400 Call Wall area. The Combo chart is a bit strange looking today in that we see negative gamma bars showing under 3375. Compare that to Fridays chart and youll see what I am referring to. This is all likely due to a small net loss of call positions <=3370 and the addition of puts at 3350 and 3300. Even though puts are being added below its curious that the Vol Trigger remains so low, particularly with notional gamma levels being on $500mm. For fun I pulled up our note from 2/18/20 (we’ve built a lot since then!) which was the Tuesday before the crash.
With SPX levels at 3366 we had $2 bn in notional gamma and the Zero Gamma sat near 3250. That ($2bn vs $500mm) gives a sense of how much larger the SPX positions were vs now. Using our “gamma theory” that $2 bn was 4x the “volatility absorption” vs now. Therefore my open question is: If we have fairly low positive gamma and large single stock call option buying why is the market stalling? Recall positive gamma infers dealers sell into rallies and buy into dips, so it feels a bit off that we’re pinned at the previous high.
For today we see support at 3350 with the overhead target still 3400. Combo resistance shows at 3380.
|3400 top of the range, 3200 bottom into August expiration.|
|Signal Name||Latest Data||Previous||SPY||NDX||QQQ|
|SG Gamma Index™:||0.64||0.92||0.06||0.02||-0.01|
|SGI Imp. 1SD Move:||0.82%,||28.0 pts, Range:||3342.0 | 3398.0|
|SGI 5 Day||3370.0||2.3%||3292.0 | 3448.0|
|Zero Gamma Level(ES Px):||3245||3251||—|
|Vol Trigger™(ES Px):||3190||3205||336||10425||271|
|High Gamma Strike Resistance:||3400||3400||340||10625||272|
|Top Abs. Gamma Strike:||3350||3350||335||11000||272|
|Put Wall Support:||3000||3000||336||10000||271|
|Call Wall Strike:||3400||3400||340||11400||272|
|CP Gam Tilt:||1.46||1.54||1.3||1.56||1.04|
|Delta Neutral Px:||3140.0|
|25D Risk Reversal||-0.08||-0.07||-0.08||-0.07||-0.08|
|Top Absolute Gamma Strikes:
SPX: [3400, 3350, 3300, 3200]
SPY: [337, 336, 335, 330]
QQQ: [272, 270, 265, 260]
NDX:[11400, 11000, 10625, 10025]
SPX Combo: [3381.0, 3391.0, 3408.0]
NDX Combo: [11206.0, 11162.0, 11117.0]
The Volatility Trigger has moved DOWN: 3190 from: 3205
SPX resistance is: 3400. Support is: 3350 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved DOWN: $516.27MM from: $662.00MM
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%