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Informe GT Gamma Levels

Mar 19, 2020 | 0 Comentarios

If we pull out tomorrows expiration the early projection appears we may come in around -$1bn in gamma and a zero flip point closer to 3000. I would add though that we still need to see to where/what these March positions are rolled. So this projection should hopefully improve (meaning less negative gamma and/or a lower zero gamma level). As it stands this morning there are still substantial put positions expiring tomorrow AM, and we will be watching closely for signs of things starting to move today. Again our feeling is that today, particularly into the afternoon we will see this 3/20 OPEX activity pick up because the CBOE floor is closed, and there may be increased operational risk combined with lower liquidity. While futures again had wild moves overnight we still think OPEX is giving a chance to the bulls here. The question outstanding is is “OPEX unwind” enough to overwhelm the consistent selling from other sources?


Event Time EST Actual Forecast Previous
Philly Fed Manufacturing Index 9.5 36.7
Unemployment Claims 220K 211K
President Trump Speaks Tentative


Signal Name Latest Data Previous
SPX Ref: 2401.5 2355.0
VIX Ref: 77.35 78.84
Gamma Per Point: $-1,079,973,060.87 $-1,459,448,199.77
Zero Gamma Level: 3145.0 3150.0
Vol Trig: 3150.0 3150.0
High Gamma Strike Resistance: 2085.0 Size: 0/10 2085.0
Top Abs. Gamma Strike: 2355.0 2350.0
Put Wall Support: 2400.0 Size: 4/10 2350.0
Call Wall Strike: 2313.0 Size: 0/10 2313.0
CP Gam Tilt: 0.13 0.1
Net Delta: $-13,087,825,625.00 $-20,648,313,289.00


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: 2350.0
SPX is below the volatility trigger. The 3145.0 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 has moved UP: $-1,379,973,060.87 from: $-1,459,448,199.77
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma typically peaks in this area, increasing odds of a rally.