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Informe GT Gamma Levels

Ene 13, 2021 | 0 Comentarios

Futures held a tight range around 3800 in the overnight session. Gamma levels drop slightly which was anticipated given the high PutCall ratio yesterday. Despite SPX being fairly flat ($175mm), we note SPY gamma remains quite strong at $900mm. The major range to watch remains unchanged: 3750 critical support with a 3800 the large magnet into 1/15.

There were some interesting volume & OI changes yesterday: total 3800 strike volume was ~80k, which netted a 35k increase in total OI at that strike. There was also a tick up in put volume, dispersed from 3750->3600. It appears some of this was a spread (3750/3600) but on net we added about 40k put contracts near 3600.

put options open interest

This volume reveals a few things: its increases the pin of 3800, certainly into OPEX. Second, put buyers are creeping in here, as based on recent volumes.

This mornings data shows single stock gamma relatively unchanged, with >50% of gamma still set to expire Friday. The chart below graphs that change in SPY where you can see how gamma reduces, which implies markets have less dealer influence and can shift from 3800.SPY options gamma round expiration

We quote this expiration figure on a “gamma” basis, as gamma is really a reflection of the true size of the expiration. Because gamma is highest for ATM options it depicts the size of options that are “relevant”.

There are a lot of questions about VIX expiration and why it matters. It’s an event you should be aware of, particularly for short term traders as often it leads to large strips of SPX options trading. Our feeling is that it is unlikely to be a market moving. Its a talking point considering that VIX expiration is near a large equity expiration.

Macro Note:

3750-3800 Jan Exp Range.

Signal Name Latest Data Previous SPY NDX QQQ
Ref Price: 3792 3799 379 12890 313
VIX Ref: 23.48 23.33
SG Gamma Index™: 0.78 0.81 0.13 0.03 -0.04
Gamma Notional(MM): $178 $247.00 $931 $4.00 $-284.00
SGI Imp. 1 Day Move: 0.95%, 36.0 pts Range: 3756.0 | 3828.0
SGI Imp. 5 Day Move: 3793 2.05% Range: 3715.0 | 3871.0
Zero Gamma Level(ES Px): 3755 3761 0
Vol Trigger™(ES Px): 3745 3745 377 12720 311
SG Abs. Gamma Strike: 3800 3800 380 12800 310
Put Wall Support: 3550 3550 360 10500 295
Call Wall Strike: 3850 3850 380 12725 320
CP Gam Tilt: 1.36 1.17 1.36 1.36 0.77
Delta Neutral Px: 3607
Net Delta(MM): $1,131,346.00 $1,133,285.00 $177,330.00 $34,433.00 $68,880.00
25D Risk Reversal -0.09 -0.09 -0.08 -0.09 -0.09
Top Absolute Gamma Strikes:
SPX: [3825, 3800, 3750, 3700]
SPY: [385, 380, 375, 370]
QQQ: [320, 315, 310, 300]
NDX:[13000, 12800, 12750, 12725]
SPX Combo: [3840.0, 3791.0, 3813.0, 3889.0, 3806.0]
NDX Combo: [12711.0, 13123.0, 12518.0, 13085.0]
SPX resistance is: 3800 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved DOWN: $178MM from: $225.00MM
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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