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Informe GT Gamma Levels

Feb 10, 2020 | 0 Comentarios

Futures are holding the 3225 level while overall gamma did decline over the weekend. Our view is that was due to short term hedges being added over the weekend. Futures had actually moved overnight towards 3300 on bad virus headlines before rebounding towards 3335 on “good” virus related headlines. This is more or less the range we see into Feb OPEX as the market seems to be unable to “price” the virus impacts at the moment. We see 3325 as something of a pivot point here as there is a lot of both call and put interest at that strike. 3300 is the key support line and there may be an “air pocket” of sorts down to the “volatility trigger” level should 3300 break. 3350 is still the “high gamma strike” and our top target should a rally commence.


Event Time EST Actual Forecast Previous
FOMC Member Bowman Speaks


Signal Name Latest Data Previous
SPX Ref: 3324.25 3330.75
VIX Ref: 15.99 15.48
Gamma Per Point: $1,682,265,134.59 $1,820,462,185.35
Zero Gamma Level: 3241.0 3248.0
Vol Trig: 3255.0 3240.0
High Gamma Strike Resistance: 3350.0 Size: 7/10 3350.0
Top Abs. Gamma Strike: 3325.0
Put Wall Support: 3200.0 Size: 6/10 3100.0
Call Wall Strike: 3350.0 Size: 7/10 3350.0
CP Gam Tilt: 1.9 2.08
Net Delta: $8,366,632,699.00 $8,773,479,855.00


Model Forecast:
Intraday support/resistance levels (during high gamma periods): 3350.0, 3400.0, 3325.0, 3375.0, 3340.0

The Volatility Trigger has moved UP: 3255.0 from: 3240.0
The PutWall has moved to: 3200.0 from: 3100.0
The total gamma has moved DOWN: $1,682,265,134.59 from: $1,820,462,185.35
Positive gamma is high. Markets tend to have little movement (Average High/Low Range of SPX PX = 0.50%) and markets tend to be mean reverting.