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Informe GT Gamma Levels

Mar 11, 2020 | 0 Comentarios

We are back revisiting 2800 this AM unwinding that move higher into the close yesterday. 2800 seems to keep coming up as a large volume/open interest strike and that may be why the market seems to be pivoting around that level this week. Revisiting why we think next week will be so key – there are ~4mm put options expiring on 3/20 and obviously a fair amount of that is in the money. Because the Fed is 3/18 (Wed) we are wondering if that is a catalyst to start closing/rolling those puts early. We bring this up because if those puts do start closing they can of course put a bid in the market – and one that may hold for longer than a few hours. As long as those puts remain open we will most likely keep all this negative gamma and associated volatility. So this current market could be seen as some form of consolidation just with 100 handle swings due to the large negative gamma. We think it will be key to watch changes in open interest from here one out for some signs that rolling is starting to take place (use the “Strike Charts” link at the bottom of this email to access the OI charts). As for today we see no change in negative gamma and expect similar trading days to what we’ve seen the past week or two – large directional swings.


Event Time EST Actual Forecast Previous
CPI m/m 0.0% 0.1%
Core CPI m/m 0.2% 0.2%
Treasury Sec Mnuchin Speaks 10:00am
Crude Oil Inventories 10:30am 2.0M 0.8M


Signal Name Latest Data Previous
SPX Ref: 2810.75 2877.0
VIX Ref: 52.46 46.87
Gamma Per Point: $-1,830,353,067.26 $-1,910,410,139.03
Zero Gamma Level: 3140.0 3092.0
Vol Trig: 3140.0 3145.0
High Gamma Strike Resistance: 3150.0 Size: 0/10 3150.0
Top Abs. Gamma Strike: 2800.0 2900.0
Put Wall Support: 2800.0 Size: 1/10 2900.0
Call Wall Strike: 2945.0 Size: 0/10 2844.0
CP Gam Tilt: 0.34 0.36
Net Delta: $-12,906,555,687.00 $-10,993,244,368.00


Model Forecast:
Intraday support/resistance levels (during high gamma periods): 3150.0, 3300.0, 3400.0, 3250.0, 3350.0

The Volatility Trigger has moved DOWN: 3140.0 from: 3145.0
The PutWall has moved to: 2800.0 from: 2900.0
The Call Wall has moved to: 2945.0 from: 2844.0
SPX is below the volatility trigger. The 3140.0 level is first level of resistance and is critical as its the negative gamma threshold.
The trigger level of: 3140.0 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: $-1,830,353,067.26 from: $-1,910,410,139.03
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma typically peaks in this area, increasing odds of a rally.