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Informe GT Gamma Levels

Nov 9, 2020 | 0 Comentarios

Futures have jumped higher to 3550 presumably from Biden’s victory declaration. The Call Wall has rolled to 3600 indicating the market has more space to move higher.  With this shift up the VIX likely falls further which adds to the equity tailwind.

There was some very interesting data pushed out over the weekend regarding call positions. Last week we had noted an increase in single stock call positions and new data suggests that this was institutional traders, not retail. As you can see in this chart retail call buying remains high, but the increase seemingly came from large call buyers. This week we will be watching these call volumes closely as we suspect a call frenzy similar to the “August” ramp may be pending.
From this same set of data we are able to view into those high PutCall ratios from last week. As you can see this was largely driven by put closings. This confirms that much of last weeks move was driven not only by the volatility collapse, but also delta hedge unwinds. As all those puts are sold to close we know that those were long put holders trying to salvage a little premium. Puts sold likely means dealers buy futures.


This leads us to the final chart, which is a composite view of Put:Call open interest. The ratio is at “put lows” going back to 2014. We’d bet that this market tries to take our those prior PC lows.


For today we watch 3550 as the pivot, and an indicative 1 SD move of about 25 points.  This places resistance around the 3567 and support around 3525.

Macro Note:

3500 resistance, 3400 Zero Gamma line into 11/3 expiration

SIGNAL NAME LATEST DATA PREVIOUS SPY NDX QQQ
Ref Price: 3553 3505 355 12300 294
VIX Ref: 24.83 24.86
SG Gamma Index™: 1.04 1.15 0.19 0.02 -0.00
Gamma Notional(MM): $586.00 $442.00 $1,648.00 $4.00 $-6.00
SGI Imp. 1 Day Move: 0.65%, 23.0 pts Range: 3530.0 | 3576.0
SGI Imp. 5 Day Move: 3553 2.33% Range: 3471.0 | 3636.0
Zero Gamma Level(ES Px): 3388 3393 0
Vol Trigger™(ES Px): 3395 3370 342 11450 287
SG Abs. Gamma Strike: 3500 3500 350 10900 280
Put Wall Support: 3200 3200 310 11000 255
Call Wall Strike: 3600 3500 360 12000 300
CP Gam Tilt: 1.6 1.42 1.9 1.59 0.99
Delta Neutral Px: 3279
Net Delta(MM): $12,501.00 $12,503.00 $2,056.00 $392.00 $692.00
25D Risk Reversal -0.09 -0.1 -0.08 -0.08 -0.07
Top Absolute Gamma Strikes:
SPX: [3500, 3450, 3400, 3350]
SPY: [355, 350, 345, 340]
QQQ: [300, 290, 285, 280]
NDX:[12000, 11800, 11000, 10900]
SPX Combo: [3542.0, 3595.0, 3620.0, 3567.0, 3552.0]
NDX Combo: [12509.0, 12189.0, 12300.0, 12349.0, 12091.0]
The Volatility Trigger has moved UP: 3395 from: 3370
The Call Wall has moved to: 3600 from: 3500
SPX resistance is: 3600. Support is: 3500 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved has moved UP: $586.00MM from: $442.00MM
Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5%

2020-11-09_CBOE_gammagraph_AMSPX.png2020-11-09_CBOE_gammagraph_AMSPY.png2020-11-09_CBOE_gammagraph_AMQQQ.png
2020-11-09_CBOE_gammagraph_AMNDX.png
2020-11-09_CBOE_gammagraph_AMIWM.png