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Informe GT Gamma Levels

Mar 2, 2021 | 0 Comentarios

Futures are holding near 3900 after overnight lows of 3870. 3900 is the largest gamma level (pinning area) and a large combo strike support at 3885. Our negative gamma flip point is at 3850.  While SPY/SPX hold a moderate positive gamma position, QQQ remains negative and so we look for continued tech volatility.

We mentioned that there would be some hedging resistance over 3900 and it appears that was enough to hold markets in place.  There is also less implied volatility/vanna fuel here due to the market recovery yesterday.

Bulls have a weak case until and unless the SPX can hold and base over 3900. Its not until 3950 that positive gamma and strong “mean reverting” dealer flows kick in.

A one day measure of intraday volatility is shown below. Its quite interesting to note the amount of volatility seen in markets, but little directional movement being made. We think this is likely a reflection of high leverage and poor liquidity, and so smaller position shifts can cause violent moves. We’ve remarked in the past that hedging flows remain light, and equity call buyers continue to push on. If this paradigm shifts even slightly it could cause some major turbulence.

high low

Macro Note:

March range 3900-4000

Signal Name Latest Data Previous SPY NDX QQQ
Ref Price: 3896 3881 389 13264 323
VIX Ref: 22.88 23.35
SG Gamma Index™: 0.61 0.60 0.11 0.01 -0.08
Gamma Notional(MM): $144 $52 $618 $1 $-516
SGI Imp. 1 Day Move: 1.25%, 49.0 pts Range: 3847.0 | 3945.0
SGI Imp. 5 Day Move: 3835 5.28% Range: 3633.0 | 4038.0
Zero Gamma Level(ES Px): 3857 3860 0
Vol Trigger™(ES Px): 3855 3855 387 13300 321
SG Abs. Gamma Strike: 3900 3900 390 12800 320
Put Wall Support: 3700 3700 380 12500 310
Call Wall Strike: 4000 4000 395 13700 330
CP Gam Tilt: 1.22 1.03 1.22 1.1 0.64
Delta Neutral Px: 3733
Net Delta(MM): $1,258,533 $1,253,768 $203,341 $38,420 $77,457
25D Risk Reversal -0.09 -0.09 -0.09 -0.09 -0.09
Model Forecast:
Top Absolute Gamma Strikes:
SPX: [4000, 3900, 3850, 3800]
SPY: [400, 395, 390, 385]
QQQ: [330, 320, 315, 310]
NDX:[13700, 13000, 12800, 12500]
SPX Combo: [3990.0, 3940.0, 3967.0, 3893.0, 3885.0]
NDX Combo: [13120.0, 12908.0, 13532.0]
SPX resistance is: 3900 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved has moved UP: $143MM from: $52.00MM
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% 2021-03-02_CBOE_gammagraph_AMSPX.png2021-03-02_CBOE_gammagraph_AMSPY.png2021-03-02_CBOE_gammagraph_AMQQQ.png
2021-03-02_CBOE_gammagraph_AMNDX.png
2021-03-02_CBOE_gammagraph_AMIWM.png
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