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Informe GT Gamma levels

Mar 2, 2020 | 0 Comentarios

Futures have already made moves overnight that rival Thurs/Fri, moving from 2900->3000->2900. We heard that there was in fact a pretty decent cash inflow at the Friday close from asset managers/institutions. This could well have been the buying spark that started the move higher, then all that negative gamma fuel was added and we had that very sharp rally in the last 10-15 mins. I bring up that move not only confirm what we saw Friday, but also as a reminder of the environment we are still in. Negative gamma didnt reduce after Fridays OPEX and is still ~$2bn and liquidity is very poor. This is just my opinion – but I feel compelled to offer it: Trying to call a top or a bottom here is akin to Russian roulette. We’re moving 3-4% in the SPX multiple times a day. If a major headline hits I think the market may hit a limit up/down. I dont say this to fear monger, simply assessing the amount of negative gamma and put positions, combined with the velocity of intraday movement. The cost of picking the wrong top/bottom here in my view is very high. Its possible some of this negative gamma reduces after Super Tuesday as some hedges have concentrated around that event and expire Wed & Fri. Otherwise we would need a sharp rally towards 3100 for the markets to regain relative calm.


Event Time EST Actual Forecast Previous
ISM Manufacturing PMI 10:00am 50.5 50.9


Signal Name Latest Data Previous
SPX Ref: 2940.5 2977.25
VIX Ref: 40.49 40.43
Gamma Per Point: $-1,954,844,778.33 $-2,113,502,102.11
Zero Gamma Level: 3160.0 3199.0
Vol Trig: 3215.0 3220.0
High Gamma Strike Resistance: 3400.0 Size: 77/10 3400.0
Top Abs. Gamma Strike: 3000.0 3000.0
Put Wall Support: 2950.0 Size: 9/10 3000.0
Call Wall Strike: 3056.0 Size: 0/10 3056.0
CP Gam Tilt: 0.36 0.31
Net Delta: $-9,757,269,369.00 $-8,688,345,446.00


Model Forecast:
Intraday support/resistance levels (during high gamma periods): 3400.0, 3300.0, 3250.0, 3450.0, 3350.0

The Volatility Trigger has moved DOWN: 3215.0 from: 3220.0
The PutWall has moved to: 2950.0 from: 3000.0
SPX is below the volatility trigger. The 3160.0 level is first level of resistance and is critical as its the negative gamma threshold.
The trigger level of: 3215.0 will act as overhead resistance.
Watching VIX is key, if volatility comes in dealers will start to buy back shares as their short puts lose value. This could start a rally.
The total gamma has moved has moved UP: $-1,954,844,778.33 from: $-2,113,502,102.11
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma typically peaks in this area, increasing odds of a rally.