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Informe GT Gamma Levels

Oct 16, 2020 | 0 Comentarios

Futures were fairly flat overnight, holding the 3475 area. Today on the cash open we have approximately 1.4mm puts and 650k calls expiring in SPX. For those of you trading futures we’d exercise caution in and around the opening print as wild, rapid shifts can occur. SPY expires on the close and the bulk of interest is tied to the 350 strike.
There were pretty sharp reversals in both Gamma and Delta Tilt yesterday which is concerning. The deltas can likely be explained by some reduction in deep ITM calls (10/16 exp, closed yesterday), but the gamma reversing near a “double top” in the SPX leaves us with little positive gamma cushion into the election. As positive gamma serves to dampen volatility we’d prefer to have a large cache of positive gamma into November 3rd.
The market analogy we can’t seem to shake here is late 2018 in which we had large Dec put positions with relentless selling throughout November and into Christmas Eve. Interestingly that day (12/24) was the market low, and the day after a very large December expiration in which a lot of puts expired. We of course do not think the low coming right after OPEX was coincidental as dealers likely had a lot of short hedges to unwind.

For today we are looking for 3500 as the center strike and do not anticipate large movement in S&P. There is a large Combo Strike support/resistance line at 3488. To the downside we mark 3450 support. We think overall volatility in QQQ’s and single stocks will be higher due to the larger amount of negative gamma.

Finally a reminder about our new email methodology which starts Monday. You will receive an additional note this morning which provides a web link to this note. If you do NOT see this second note please contact us by responding to this email.


Market Outlook:
3500 key area for today. New November range sets next week.


Event Time EST Actual Forecast Previous
Core Retail Sales m/m 0.4% 0.7%
Retail Sales m/m 0.7% 0.6%
Prelim UoM Consumer Sentiment 10:00am 80.2 80.4


Signal Name Latest Data Previous SPY NDX QQQ
Ref Price: 3473 3476 347 11875 290
VIX Ref: 27.39 26.97
SG Gamma Index™: 0.65 0.91 0.14 0.02 0.00
Gamma Notional(MM): $227.00 $296.00 $805.00 $2.00 $11.00
SGI Imp. 1 Day Move: 0.88%, 28.0 pts Range: 3447.0 | 3503.0
SGI Imp. 5 Day Move: 3497 2.53% Range: 3409.0 | 3586.0
Zero Gamma Level(ES Px): 3439 3416 0
Vol Trigger™(ES Px): 3445 3395 342 11370 288
SG Abs. Gamma Strike: 3500 3500 350 10900 290
Put Wall Support: 3200 3200 340 9500 255
Call Wall Strike: 3500 3500 350 11825 300
CP Gam Tilt: 1.28 1.24 1.29 1.23 1.01
Delta Neutral Px: 3328
Net Delta(MM): $11,415.00 $12,142.00 $2,018.00 $392.00 $742.00
25D Risk Reversal -0.09 -0.09 -0.09 -0.08 -0.07