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Informe GT Gamma Levels

Dic 1, 2020 | 0 Comentarios

Strong mean revertive moves today in the SPX which closed down slightly on the day. The VIX finished back on those post-Covid lows, with SPX options volume decent at 1.1mm contracts. The VIX breaking 20 may be the precursor to this market making a run at 3700.
We also mentioned wanting to see stronger “breadth” in call buying. You can see below the top options volume by ticker for last week. You get a strong sense of the speculative action with 4 of the top 10 being pure retail “chasing” names.

Macro Note:

3500-3700 range into DEC OPEX.

SIGNAL NAME LATEST DATA PREVIOUS SPY NDX QQQ
Ref Price: 3629 3613 361 12300 299
VIX Ref: 20.53 14
SG Gamma Index™: 0.92 0.91 0.27 0.01 0.02
Gamma Notional(MM): $391.00 $291.00 $1,156.00 $2.00 $155.00
SGI Imp. 1 Day Move: 1.0%, 36.0 pts Range: 3593.0 | 3665.0
SGI Imp. 5 Day Move: 3613 2.44% Range: 3526.0 | 3702.0
Zero Gamma Level(ES Px): 3539 3551 0
Vol Trigger™(ES Px): 3470 3470 356 11750 294
SG Abs. Gamma Strike: 3600 3600 370 12000 300
Put Wall Support: 3300 3300 355 11000 265
Call Wall Strike: 3700 3700 370 12000 300
CP Gam Tilt: 1.48 1.23 1.48 1.24 1.21
Delta Neutral Px: 3349
Net Delta(MM): $13,373.00 $13,317.00 $2,048.00 $393.00 $641.00
25D Risk Reversal -0.06 -0.06 -0.08 -0.05 -0.06
Top Absolute Gamma Strikes:
SPX: [3650, 3600, 3550, 3500]
SPY: [370, 363, 360, 350]
QQQ: [300, 295, 290, 280]
NDX:[12000, 11600, 11000, 10900]
SPX Combo: [3694.0, 3592.0, 3643.0, 3698.0, 3669.0]
NDX Combo: [12399.0, 12192.0, 12083.0]
SPX resistance is: 3700. Support is: 3600 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved has moved UP: $391.00MM from: $290.00MM
Gamma is tilted towards Puts, may indicate puts are expensive
Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5%

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