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Informe GT Gamma Levels

Sep 11, 2020 | 0 Comentarios

Today is the 9/11 anniversary, its hard to believe that tragic event was nearly 20 years ago. It always feels uncomfortable for us to discuss trading on this date, but the markets are open so we make the best of it.

Futures have recovered a bit to the 3360 area. We have a flat gamma position in SPX, but negative in SPY/QQQ. This is an interesting price area as 3400 holds a lot of OI, and was quite active yesterday with ~60k volume each of calls/puts and 20k each net added. As we near Sep Monthly OPEX (next Friday) the largest OI seems to rest in the 3350-3400 zone and there is some evidence that volatility tends to consolidate into Monthly OPEX.

For today: One of our members pointed out “16 of last 18 9/11‘s have been positive”, and we mark 3400 as overhead resistance. We see 3350 as first support, but the market remains vulnerable under that level particularly if traders add put positions.

Market Outlook:
September OPEX top range = 3500, can push down to 3200 with break of Vol Trigger.