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Informe GT Gamma Levels

Sep 24, 2020 | 0 Comentarios

Futures are flat to last nights cash close. Open interest changes yesterday seem to confirm our view that SPX flows were rather benign – we saw puts >=3250 net closed which pushes the Put Wall to 3200. Our levels shifting appear to be more a function of SPX price changes rather than large shifts in open interest.
For today we are working off of the 3250 area, if we get a break in implied volatility (VIX) we could see a quick recovery into 3300. To the downside negative gamma increases sharply if we break 3200. As there are a lot of puts at 3200 its under there that markets could move from “weak” to “washout”.

On the back of the recent “weaponized gamma” action, we may be seeing another player knocked out. Some of you are probably aware of recent news that Citi closed its retail market making operation. While I do not know when they specifically ceased operations one could imagine that the August gamma ramp/crash was a very unfriendly trading environment if you werent positioned correctly. Obviously, any time market makers are removed from the system its bad for liquidity, and it could be a challenge for any new entrants to this space.
We may also see options prices trading at a premium as market makers seek extra insurance/protection against further volatility, particularly into the election period.

 

Market Outlook:
3200 – 3400 October OPEX range.

 

Event Time EST Actual Forecast Previous
Unemployment Claims 8:30am 845K 860K
Fed Chair Powell Testifies
Treasury Sec Mnuchin Speaks

 

Signal Name Latest Data Previous SPY NDX QQQ
Ref Price: 3219 3231 322 10752 264
VIX Ref: 28.58 28.58
SG Gamma Index™: -0.48 -0.16 -0.11 -0.00 -0.07
Gamma Notional(MM): $-420.00 $-521.00 $-916.00 $-1.00 $-540.00
SGI Imp. 1 Day Move: 1.08%, 35.0 pts Range: 3184.0 | 3254.0
SGI Imp. 5 Day Move: 3299.5 2.64% Range: 3212.0 | 3387.0
Zero Gamma Level(ES Px): 3309 3305
Vol Trigger™(ES Px): 3225 3320 325 10900 270
High Gamma Strike Resistance: 3500 3400 350 11000 272
SG Abs. Gamma Strike: 3250 3350 320 10900 270
Put Wall Support: 3200 3250 320 10000 260
Call Wall Strike: 3500 3500 350 11000 272
CP Gam Tilt: 0.79 0.65 0.68 0.89 0.59
Delta Neutral Px: 3227.0
Net Delta(MM): $10,425.00 $10,135.00 $1,688.00 $301.00 $691.00
25D Risk Reversal -0.08 -0.08 -0.08 -0.08 -0.08

 

Model Forecast:
Top Absolute Gamma Strikes:
SPX: [3350, 3300, 3250, 3200]
SPY: [330, 325, 320, 310]
QQQ: [272, 270, 260, 255]
NDX:[11200, 11000, 10900, 10000]
SPX Combo: [3168.0, 3194.0, 3178.0, 3197.0, 3204.0]
NDX Combo: [10549.0, 10743.0, 10624.0, 10947.0, 10872.0]
The Volatility Trigger has moved DOWN: 3225 from: 3320
The PutWall has moved to: 3200 from: 3250
The High Gamma Strike has moved to: 3500 from: 3400
SPX is below the Volatility Trigger™. The 3309.0 level is first level of resistance and is critical as its the negative gamma threshold.
The trigger level of: 3225 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: $-421.00MM from: $-521.00MM
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma is moderate favoring further swings in the market