loader image

Informe GT Gamma Levels

Feb 26, 2021 | 0 Comentarios

Futures are holding 3825 after a putting in a 3800 low and 3850 high. Notional gamma levels in major indicies all hold negative, signaling a volatile day ahead. The SG implied range is 2% today, a figure we have not seen in some time.  Key levels for today are 3800 (large gamma strike), 3830, 3880 (large combo strikes) and 3900.  The VIX will be key today, if it declines then we think a move back up into the 3900 area is quite possible.  If VIX continues higher then we think the market stays under pressure.

The Put Wall did shift up to 3850, which is due to the addition of ~6k puts at that strike.  There were net put positions added at strikes below, but nothing of major size. Yesterday we mentioned 3800 being critical, as it is under there that put positions increase materially. That sentiment holds today. You can see that reflected here in net put open interest:

One interesting note here, we did not see any SPX strikes which a net close of puts. However, the SPY showed net closing of puts for all strikes >=385. This indicates to us that “retail” took their gains, but “institutions” held their protection.

A few days ago we talked about the VIX and the contango, and how quickly the VIX could snap-back due to how steep that curve was. The image below shows the implied volatility level of at the money SPX options and how that snapped from contango to backwardation. The lower red circle highlights data from Wednesday, the day of the big market rally. You can see how drastically that differs from yesterdays market.  We highlight this chart, as if the options prices  decline significantly from yesterday (top red circle shifts to lower red circle) that can be a “buy” signal as it indicates implied volatility is declining ( vanna, as discussed last night). Unless you are a volatility quant, we generally just recommend watching the VIX to detect SPX options price changes.

Macro Note:

March range 3900-4000

Signal Name Latest Data Previous SPY NDX QQQ
Ref Price: 3820 3831 380 12767 312
VIX Ref: 28.89 28.89
SG Gamma Index™: -0.46 0.89 -0.12 -0.01 -0.16
Gamma Notional(MM): $-409 $-310 $-568 $-2 $-978
SGI Imp. 1 Day Move: 1.95%, 74.0 pts Range: 3746.0 | 3894.0
SGI Imp. 5 Day Move: 3890 2.08% Range: 3810.0 | 3971.0
Zero Gamma Level(ES Px): 3898 3880 0
Vol Trigger™(ES Px): 3865 3865 386 13225 321
SG Abs. Gamma Strike: 3800 3900 385 12800 315
Put Wall Support: 3850 3825 380 12500 310
Call Wall Strike: 4000 4000 395 13700 340
CP Gam Tilt: 0.86 0.82 0.82 0.83 0.42
Delta Neutral Px: 3744
Net Delta(MM): $1,275,046 $1,222,714 $200,722 $37,629 $86,478
25D Risk Reversal -0.1 -0.08 -0.11 -0.09 -0.11
Top Absolute Gamma Strikes:
SPX: [3900, 3850, 3800, 3700]
SPY: [395, 390, 385, 380]
QQQ: [320, 318, 315, 310]
NDX:[13700, 13000, 12800, 12500]
SPX Combo: [3833.0, 3883.0, 3879.0, 3810.0, 3860.0]
NDX Combo: [12603.0, 12807.0, 12400.0, 12883.0, 13010.0]
The PutWall has moved to: 3850 from: 3825
SPX is below the Volatility Trigger™. The 3898.0 level is first level of resistance and is critical as its the negative gamma threshold.
The trigger level of: 3865 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: $-409MM from: $-311.00MM
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma is moderate favoring further swings in the market