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Informe GT Gamma Levels

Ago 18, 2020 | 0 Comentarios

Futures are at the highs of the overnight session: 3386. We saw quite a build in SPY gamma which is back over $1bn. The Call Wall also shifts up to 3450 which is a bit curious as we didnt pick up any significant volume at that level yesterday. We therefore think this is a case of changes in “small numbers” as opposed to a large roll. Regardless it sets a new high target. What syncs with this is the Combo strike chart which shows less resistance up to 3400 today. Granted thats only about 10 handles away but this “slow grind higher” is what the forecast when there is a lot of positive gamma (SPX+SPY in this case).

For today we note resistance at 3400 with support showing at 3350.

I want to clarify last nights comments about “bubbles”. That bubble comment was directed at some stock specific situations like TSLA where its very clear to me that the mechanics of call buying and the linked dealer buying (for hedges) is ramping the stocks. I do not see that same level of call positions in SPX – the scenario that I worry about with SPX is the sudden addition of a lot of put hedging which would bring dealer shorting (as hedges). I do believe Monthly Expirations can be an unpinning for volatility particularly in SPX which has held a pretty tight range as of late. The models “sell” signal is still based on the Volatility Trigger/Zero Gamma level which still lies about 100 points below. All that being said (and based strictly on the options setup), if we were to have a selloff I think a 5-10% drawdown would be possible, but I do not see the fuel for a 20-30% March style crash due to lack of put positions.

 

Market Outlook:
3350 support and 3400 top into August Expiration.

 

Event Time EST Actual Forecast Previous
No events

 

Signal Name Latest Data Previous SPY NDX QQQ
Ref Price: 3385 3370 338 11324 275
VIX Ref: 21.28 22.13
SG Gamma Index™: 0.72 0.64 0.16 0.03 0.03
Gamma Notional(MM): $694.00 $516.00 $1,039.00 $5.00 $223.00
SGI Imp. 1SD Move: 1.0%, 33.0 pts, Range: 3353.0 | 3419.0
SGI 5 Day 3379.5 2.3% 3307.0 | 3463.0
Zero Gamma Level(ES Px): 3227 3245
Vol Trigger™(ES Px): 3205 3190 337 10100 267
High Gamma Strike Resistance: 3450 3400 340 10625 275
Top Abs. Gamma Strike: 3350 3350 338 11000 270
Put Wall Support: 3000 3000 337 10000 265
Call Wall Strike: 3450 3400 340 11400 275
CP Gam Tilt: 1.64 1.46 1.44 1.78 1.26
Delta Neutral Px: 3123.0
Net Delta(MM): $10,791.00 $10,910.00 $2,070.00 $320.00 $644.00
25D Risk Reversal -0.07 -0.08 -0.08 -0.07 -0.08

 

Model Forecast:
Top Absolute Gamma Strikes:
SPX: [3400, 3350, 3300, 3200]
SPY: [340, 338, 337, 335]
QQQ: [275, 272, 270, 265]
NDX:[11500, 11400, 11000, 10625]
SPX Combo: [3427.0, 3451.0, 3400.0]
NDX Combo: [11301.0, 11505.0, 11380.0]
SPX resistance is: 3450. Support is: 3350 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved has moved UP: $694.00MM from: $572.00MM
Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5%