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Informe GT Gamma levels

Mar 9, 2021 | 0 Comentarios

Futures are at overnight highs of 3861. Major SG levels remain unchanged with resistance at 3900 and ZeroGamma/Vol Trigger flipping at 3840. Critical support remains at 3800. While the S&P holds a small positive gamma position, the SG implied move is only 80bps today which is a start difference from last weeks >150bps levels. Based on current futures prices that 80bps lines up well with 3900 resistance.  We note no major SG level above until 3897 (Combo Strike).

It does seem as if there was an uptick in put interest overnight, with >10k added to several strikes  <=3700. Long term we believe this adds stability to markets and is a favorable sign.

The more active setup continues to be in QQQ, which remains quite negative indicating (once again) much higher relative volatility. This does not flip positive until 371 />=5% from current prices.  Levels here remain similar to yesterday, with the 290 Put Wall lining up as the “gamma trough” noted yesterday. While the data below is extremely similar to yesterdays, there is ~25% “more” negative gamma (-900mm vs -700) today.

On net we see SPX remaining in the 3830-3900 range today and look for another ~2% move in NQ/QQQ. A lot of QQQ negative gamma rolls off on Friday which indicates volatility main remain for the next few days,  but could subside next week into the large 3/19 (next Friday) monthly OPEX.

Finally we wanted to share our SG Momentum Indicator which is available through the EquityHub(EH). While many of you use it daily for equities, we’ve been getting a lot of questions/comments on other ways assessing Index volatility.  With that we wanted to highlight the usefulness of assessing “local” volatility with EH charts.

There are dozens of tutorials on reading these charts but essentially where the area plot shows sharp changes in the Momentum Indicator (between the yellow arrows), that indicates high volatility. “Flat” areas generally align with SG levels and indicate where volatility may stall out.

Going forward we will be creating some new and unique views of this chart specifically for Indicies.

Macro Note:

3800 support 4000 resistance into March OPEX

Signal Name Latest Data Previous SPY NDX QQQ
Ref Price: 3845 3837 384 12440 299
VIX Ref: 25.47 25.47
SG Gamma Index™: -0.12 0.28 -0.01 -0.03 -0.14
Gamma Notional(MM): $-49 $-18 $416 $-3 $-918
SGI Imp. 1 Day Move: 0.8%, 31.0 pts Range: 3814.0 | 3876.0
SGI Imp. 5 Day Move: 3831 3.11% Range: 3712.0 | 3950.0
Zero Gamma Level(ES Px): 3835 3827 0
Vol Trigger™(ES Px): 3840 3840 382 12975 317
SG Abs. Gamma Strike: 3800 3800 385 12800 300
Put Wall Support: 3700 3700 370 12500 290
Call Wall Strike: 4000 4000 395 13750 335
CP Gam Tilt: 0.96 0.99 1.15 0.74 0.43
Delta Neutral Px: 3712
Net Delta(MM): $1,303,515 $1,281,040 $199,496 $40,162 $92,743
25D Risk Reversal -0.1 -0.1 -0.1 -0.09 -0.1
Top Absolute Gamma Strikes:
SPX: [3900, 3850, 3800, 3700]
SPY: [395, 390, 385, 380]
QQQ: [310, 300, 295, 290]
NDX:[13000, 12800, 12500, 12000]
SPX Combo: [3924.0, 3916.0, 3770.0, 3947.0, 3897.0]
NDX Combo: [12201.0, 12400.0, 12611.0]
SPX resistance is: 4000. Support is: 3800 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved DOWN: $-49MM from: $-18.00MM
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma is moderate favoring further swings in the market