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Informe GT Gamma Levels

Mar 20, 2020 | 0 Comentarios

A strong rally overnight in futures touched the 2500 level only to back off some to 2450 area now. Gamma drops to $1bn and the zero gamma level moves down a bit to 3100. The key to the options market helping to drop volatility will now be to see where new positions are added for April OPEX and beyond. We do anticipate some fast action around the open as the March options expire at 9:30AM est. Our hope is that we see a healthy addition of call options closer to at the money as that will help to lower negative gamma substantially. This is something that will play out over the next few days, but the other side of the bullish coin is that if not much is added in the way of calls and fresh round of put options opened that may actually pressure markets lower. If you consider that options dealers are “flat” now and new long puts are added, the dealers will be short more puts and have to sell more futures. We’re sticking with that view of a bounce here, but keeping a very short view on this as the data will change rapidly over the next few days.


Event Time EST Actual Forecast Previous
No events


Signal Name Latest Data Previous
SPX Ref: 2466.0 2385.75
VIX Ref: 66.49 71.28
Gamma Per Point: $-1,024,164,457.99 $-1,096,128,417.11
Zero Gamma Level: 3115.0 3140.0
Vol Trig: 3100.0 3100.0
High Gamma Strike Resistance: 2465.0 Size: 0/10 2355.0
Top Abs. Gamma Strike: 2500.0 2400.0
Put Wall Support: 2500.0 Size: 4/10 2400.0
Call Wall Strike: 2535.0 Size: 0/10 2355.0
CP Gam Tilt: 0.38 0.24
Net Delta: $-11,886,410,345.00 $-13,301,289,507.00


Model Forecast:
Intraday support/resistance levels (during high gamma periods): 2465.0, 2535.0, 3150.0, 3425.0, 3250.0

The PutWall has moved to: 2500.0 from: 2400.0
The Call Wall has moved to: 2535.0 from: 2355.0
The High Gamma Strike has moved to: 2465.0 from: 2355.0
SPX is below the volatility trigger. The 3115.0 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: $-1,024,164,457.99 from: $-1,096,128,417.11
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma typically peaks in this area, increasing odds of a rally.