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Informe GT Gamma Levels

Oct 28, 2020 | 0 Comentarios

Futures have broken down to 3340 which now places the market in control of puts. As we have discussed at length the big concern at this price level is for volatility to rapidly expand. This is because there are large Dec put positions and as the market pushes lower it may activate heavier put hedging. This also likely makes the market more sensitive to changes in implied volatility[IV]. As volatility(ie VIX) rises the value of puts increases and additional dealer short hedges may be required (this hedge adjustment around IV changes is that “Vanna” buzzword). Of course puts being closed and/or IV coming down could push dealers to buy back short hedges.
The issue here is that most of the puts are related to election and/or end of year hedges, and as such the bulk of them will likely be held through any “pre election” selling.
For today we think monitoring IV (VIX) is key – higher VIX likely means lower markets and vice versa. 3300 is the obvious downside level, with 3400 the the only resistance area we see above.
Macro Note:
3400 resistance. Since the 3400 Zero Gamma line was broken we anticipate an expansion in vol into 11/3 expiration
SIGNAL NAME LATEST DATA PREVIOUS SPY NDX QQQ
Ref Price: 3367 3383 336 11562 282
VIX Ref: 33.35 33.35
SG Gamma Index™: -0.02 -0.28 -0.04 0.00 -0.04
Gamma Notional(MM): $-200.00 $-74.00 $-581.00 $0.00 $-267.00
SGI Imp. 1 Day Move: 1.23%, 41.0 pts Range: 3326.0 | 3408.0
SGI Imp. 5 Day Move: 3429 2.24% Range: 3352.0 | 3506.0
Zero Gamma Level(ES Px): 3384 3384 0
Vol Trigger™(ES Px): 3390 3400 340 11475 285
SG Abs. Gamma Strike: 3500 3400 340 10900 280
Put Wall Support: 3300 3300 335 10000 255
Call Wall Strike: 3500 3500 350 12000 300
CP Gam Tilt: 0.99 0.94 0.8 1.02 0.73
Delta Neutral Px: 3276
Net Delta(MM): $11,189.00 $11,154.00 $1,814.00 $348.00 $648.00
25D Risk Reversal -0.11 -0.11 -0.11 -0.1 -0.09
Top Absolute Gamma Strikes:
SPX: [3500, 3450, 3400, 3350]
SPY: [350, 345, 340, 335]
QQQ: [290, 285, 280, 275]
NDX:[12000, 11000, 10900, 10000]
SPX Combo: [3316.0, 3326.0, 3417.0]
NDX Combo: []
The Volatility Trigger has moved DOWN: 3390 from: 3400
SPX is below the Volatility Trigger™. The 3384.0 level is first level of resistance and is critical as its the negative gamma threshold.
The trigger level of: 3390 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 DOWN: $-200.19MM from: $-75.00MM
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma is moderate favoring further swings in the market