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Informe GT Gamma Levels

Mar 4, 2020 | 0 Comentarios

Futures holding a rally this morning and negative gamma is back to levels similar to yesterday morning. Our Gamma Tilt indicator showed a bounce this morning as call gamma builds a small amount. It still appears that we will have to push over over 3150->3200 area to regain stability in this market. We would expect implied vols to reduce slightly following Super Tuesday and Bidens success, and this may explain some of the bid in futures. Given that, we still expect the market to maintain this volatility potential until there is a move much higher towards zero gamma and/or we approach the monthly March OPEX where a large number of puts are listed. Keep in mind that if the market can hold steady that main help create some bullish pressure as put options will decay rapidly, forcing puts to close and or dealers to potentially buy back futures.


Event Time EST Actual Forecast Previous
ADP Non-Farm Employment Change 8:15am 170K 291K
ISM Non-Manufacturing PMI 54.9 55.5
Crude Oil Inventories 10:30am 2.8M 0.5M


Signal Name Latest Data Previous
SPX Ref: 3058.25 2994.25
VIX Ref: 32.67 37.39
Gamma Per Point: $-1,428,369,802.43 $-1,713,659,260.58
Zero Gamma Level: 3221.0 3226.0
Vol Trig: 3215.0 3215.0
High Gamma Strike Resistance: 3300.0 Size: 0/10 3300.0
Top Abs. Gamma Strike: 3000.0 3000.0
Put Wall Support: 3050.0 Size: 6/10 3000.0
Call Wall Strike: 3200.0 Size: 0/10 2910.0
CP Gam Tilt: 0.54 0.45
Net Delta: $-4,099,789,095.00 $-6,980,420,049.00


Model Forecast:
Intraday support/resistance levels (during high gamma periods): 3300.0, 3400.0, 3450.0, 3500.0, 3250.0

The PutWall has moved to: 3050.0 from: 3000.0
The Call Wall has moved to: 3200.0 from: 2910.0
SPX is below the volatility trigger. The 3221.0 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: $-1,428,369,802.43 from: $-1,713,659,260.58
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma typically peaks in this area, increasing odds of a rally.