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Informe GT Gamma Levels

Sep 16, 2020 | 0 Comentarios

Futures have pulled ahead to 3412 this morning ahead of the FOMC. SPX/SPY have a positive gamma position and Q’s are still negative but trending back towards zero gamma. It appears that call positions are building just overhead with SPY in particular.
3400 remains the key area, with the Volatility Trigger posted right below at 3390. We think a break of 3390 brings a quick test of 3350 which is a large interest strike.
To the upside there is decent resistance around 3428 (Combo Strikes) with 3457 being a larger wall.
As today is an FOMC rate day there will likely be some late day volatility, which now gets mixed in with Fridays Quad witching expiration.

 

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

 

Event Time EST Actual Forecast Previous
Core Retail Sales m/m 1.0% 1.9%
Retail Sales m/m 1.1% 1.2%
Crude Oil Inventories 10:30am 2.1M 2.0M
FOMC Economic Projections 2:00pm
FOMC Statement
Federal Funds Rate <0.25% <0.25%
FOMC Press Conference 2:30pm

 

Signal Name Latest Data Previous SPY NDX QQQ
Ref Price: 3399 3395 339 11464 279
VIX Ref: 25.59 25.59
SG Gamma Index™: 0.05 0.63 0.05 0.02 -0.05
Gamma Notional(MM): $79.00 $196.00 $403.00 $3.00 $-259.00
SGI Imp. 1 Day Move: 0.92%, 31.0 pts Range: 3368.0 | 3430.0
SGI Imp. 5 Day Move: 3365.25 1.61% Range: 3344.0 | 3454.0
Zero Gamma Level(ES Px): 3373 3336
Vol Trigger™(ES Px): 3390 3380 337 11330 278
High Gamma Strike Resistance: 3500 3395 342 11575 290
SG Abs. Gamma Strike: 3400 3400 340 11575 270
Put Wall Support: 3100 3250 320 11000 270
Call Wall Strike: 3500 3395 342 11575 290
CP Gam Tilt: 1.01 1.12 1.14 1.33 0.8
Delta Neutral Px: 3265.0
Net Delta(MM): $12,446.00 $14,030.00 $2,159.00 $395.00 $822.00
25D Risk Reversal -0.08 -0.08 -0.08 -0.08 -0.08

 

Model Forecast:
Top Absolute Gamma Strikes:
SPX: [3450, 3400, 3375, 3350]
SPY: [350, 342, 340, 330]
QQQ: [290, 280, 275, 270]
NDX:[11575, 11400, 11200, 11000]
SPX Combo: [3457.0, 3430.0, 3426.0, 3365.0, 3375.0]
NDX Combo: [11665.0, 11493.0, 11355.0, 11321.0, 11447.0]
The Volatility Trigger has moved UP: 3390 from: 3380
The PutWall has moved to: 3100 from: 3250
The Call Wall has moved to: 3500 from: 3395
The High Gamma Strike has moved to: 3500 from: 3395
SPX resistance is: 3400 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved DOWN: $79.32MM from: $195.00MM
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%