| Little change to gamma levels overnight. Futures are currently at 2400 which holds a lot of gamma associated with it (~$8bn). We are getting a lot of questions about Fridays OPEX and want to expand on it a bit. There seems to be a consensus that its a very bullish event, but I would walk that back a bit (but still bullish). While there are many deep in the money puts we do not know how those will closer/roll. For example if we take a 100 delta put and close it, that creates many futures to buy. But if we roll the 100 delta put to a 25 delta put, that creates less to buy. We also dont know how/if the “customer” side hedged, they may well own say a 3000 strike put but have sold the 2800 put. Because so many of these put options are deep in the money I do think its creates buying pressure, but it may be less pressure than some are anticipating. Its also important to note that much of what has created some of these wild spikes higher has been negative gamma, and a big chunk of that negative gamma comes off on Friday. That leads me to what actually may be a bit more of a bullish scenario and that is this OPEX may help lower negative gamma and add some stability to markets. If you look at the current largest call positions they are all over 2925. Calls provide the “positive gamma” to our models, and I have to believe we get calls added much closer to at the money after Friday. Also those large put positions will get rolled out in time and down in price and that should help remove some of the negative gamma input. If we can drop negative dealer gamma closer to zero, that could help reduce the dealer influence on volatility (gamma closer to zero means less dealer trading). This in turn may help lower implied volatility (VIX) and that may help the market rise. |
| Event | Time EST | Actual | Forecast | Previous |
| Building Permits | 1.50M | 1.55M |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2393.5 | 2498.5 |
| VIX Ref: | 75.91 | 74.37 |
| Gamma Per Point: | $-1,502,050,405.66 | $-1,585,517,644.12 |
| Zero Gamma Level: | 3151.0 | 3151.0 |
| Vol Trig: | 3150.0 | 3150.0 |
| High Gamma Strike Resistance: | 3150.0 Size: 0/10 | 3150.0 |
| Top Abs. Gamma Strike: | 2400.0 | 2500.0 |
| Put Wall Support: | 2400.0 Size: 8/10 | 2500.0 |
| Call Wall Strike: | 2313.0 Size: 0/10 | 2424.0 |
| CP Gam Tilt: | 0.2 | 0.33 |
| Net Delta: | $-20,238,111,958.00 | $-18,576,541,422.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 2085.0, 2170.0, 2090.0, 3425.0, 3150.0
The PutWall has moved to: 2400.0 from: 2500.0 |