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Informe GT Gamma Levels

Sep 1, 2020 | 0 Comentarios

Futures up slightly to 3508 this morning. Weve seen a pretty heavy drop in SPX gamma and major consolidation of levels at 3500. This is due to ~35k puts added yesterday to the 3500 strike. Because the Call Wall only shifts to 3510 we’re sort of trapped in this box of 3500-3510. It does seem like the SPX has been consolidating/compressing and is set to make a move.
Looking just at the last 5 trading days, Q’s are up ~4% with SPY’s adding only 2%. At the same time QQQ gamma remains quite flat with SPY pushing the $1bn mark, which again shows more “volatility potential” in QQQ. As we enter the 4th quarter I start to wonder about “performance anxiety”, and how that manifests for those who have primarily been in SPX (+8% YTD) vs NDX (+38%)

For today we note large Combo support at 3490 with 3500 being a key pivot level. If we break out through the 3510 Call Wall we note a large Combo strike up near 3537. Were on watch for a large extension down should 3490 break.


Market Outlook:
3400 low to 3525 top into September.


Event Time EST Actual Forecast Previous
ISM Manufacturing PMI 10:00am 54.6 54.2


Signal Name Latest Data Previous SPY NDX QQQ
Ref Price: 3505 3497 350 12168