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Informe GT Gamma Levels

Mar 13, 2020 | 0 Comentarios

Overnight we touched 2400 in ES only to currently be limit up around 2575. Negative gamma is now back to its recent lows which may provide plenty of momentum for whichever way the market heads next. The VIX is currently off about 10% and if it can continue to break down we make be able to sustain this rise higher. Governments seem determined to stem this crash here and are creating “tape bombs” galore making it a very risky trading environment. I also get the sense that there is some trader “fatigue” out there which may futher deteriorate liquidity. Apparently the well know VIX trader “50 cent” closed a set of their VIX calls at ~$32 having paid 50 cents for them only a few weeks ago. Besides being an incredible trade it may be indicative of institutional players now starting to close/roll their hedges. To that point one of the interesting things coming from yesterdays flow was a decent drop in OI at the 2800 strike puts. This may be the first signs of noteable roll activity into that large OPEX next week. If you look at where the largest put positions (# contracts) its quite remarkable. The top 5 in order (largest 1st): 3000, 2000, 2500, 2900, 2800. Obviously 3/5 are pretty deep in the money and in total that is a lot of negative deltas. All of the top 5 call positions are over 2925, so this give you a sense on where the “equilibrium” is for the options market. Its for this reason that I continue to think the risk into next week is to the upside.


Event Time EST Actual Forecast Previous
Prelim UoM Consumer Sentiment 10:00am 95.0 101.0


Signal Name Latest Data Previous
SPX Ref: 2595.0 2449.75
VIX Ref: 65.07 75.47
Gamma Per Point: $-1,842,414,136.19 $-1,484,391,299.96
Zero Gamma Level: 3156.0 3098.0
Vol Trig: 3150.0 3200.0
High Gamma Strike Resistance: 3150.0 Size: 0/10 3150.0
Top Abs. Gamma Strike: 2600.0 2500.0
Put Wall Support: 2600.0 Size: 1/10 2500.0
Call Wall Strike: 2544.0 Size: 0/10 2424.0
CP Gam Tilt: 0.21 0.04
Net Delta: $-17,124,334,478.00 $-19,585,948,704.00


Model Forecast:
Intraday support/resistance levels (during high gamma periods): 3150.0, 3250.0, 3400.0, 3425.0, 3300.0

The Volatility Trigger has moved DOWN: 3100.0 from: 3200.0
The PutWall has moved to: 2600.0 from: 2500.0
The Call Wall has moved to: 2544.0 from: 2424.0
SPX is below the volatility trigger. The 3150.0 level is first level of resistance and is critical as its the negative gamma threshold.
The trigger level of: 3100.0 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 DOWN: $-1,842,414,136.19 from: $-1,484,391,299.96
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma typically peaks in this area, increasing odds of a rally.