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Informe GT Gamma Levels

Mar 18, 2021 | 0 Comentarios

Futures have returned to yesterdays session lows of 3936. Total S&P gamma remains robust at >$1.5bn, with 3950 being the largest gamma strike on the board. Going into yesterday 3900 held the largest gamma strike; the shift to 3950 is due to some 35k calls and 40k puts being added at that level. This is quite large “straddle” type volume and may help lock 3950 as Fridays pin. We estimate 35% of SPX gamma, and 25% of QQQ expiring tomorrow.

We continue to look for mean reversion in markets with initial downward pressure slowing around current implied opening prices (~3940). Our models suggest just a 78bps range today with key levels being 3900, 3950, and 3967.

Along with large strike shift, the Vol Trigger has moved up to 3920 and the picture <3900 is a “no mans land”. The Call Wall and large resistance remains at 4000.

While we give edge to a pin, we must acknowledge the fuel for downside here. The QQQ gamma remains quite negative down to the 300 level and it appears there is little in the way of support <3900 in SPX. You can see how this QQQ selling accelerates when you add in a shift higher in implied volatility (this is shown by the dealer hedge requirement shifting from the red line to black line, explanation here). Said another way, “buying the dip” is not advised if SPX breaks 3900.

Macro Note:

3800 support 4000 resistance into March OPEX

Signal Name Latest Data Previous SPY NDX QQQ
Ref Price: 3967 3961 396 13195 321
VIX Ref: 19.23 19.23
SG Gamma Index™: 1.30 1.17 0.39 -0.01 -0.07
Gamma Notional(MM): $348 $365 $1,616 $-2 $-479
SGI Imp. 1 Day Move: 0.78%, 31.0 pts Range: 3936.0 | 3998.0
SGI Imp. 5 Day Move: 3927 2.06% Range: 3846.0 | 4008.0
Zero Gamma Level(ES Px): 3869 3896 0
Vol Trigger™(ES Px): 3920 3890 392 13130 319
SG Abs. Gamma Strike: 3950 3900 400 12800 315
Put Wall Support: 3900 3800 380 12800 310
Call Wall Strike: 4000 4000 400 13500 330
CP Gam Tilt: 1.45 1.21 1.64 0.88 0.72
Delta Neutral Px: 3773
Net Delta(MM): $1,492,696 $1,471,686 $199,926 $42,808 $80,574
25D Risk Reversal -0.05 -0.05 -0.06 -0.07 -0.08
Top Absolute Gamma Strikes:
SPX: [4000, 3950, 3925, 3900]
SPY: [400, 397, 395, 390]
QQQ: [330, 320, 315, 310]
NDX:[13300, 13200, 13000, 12800]
SPX Combo: [3998.0, 3947.0, 3970.0, 4022.0, 3967.0]
NDX Combo: [13557.0, 12948.0, 13226.0, 13359.0, 12856.0]
The Volatility Trigger has moved UP: 3920 from: 3890
The PutWall has moved to: 3900 from: 3800
SPX resistance is: 4000. Support is: 3950 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved DOWN: $348MM from: $364.00MM
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%

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