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Informe GT Gamma levels

Mar 22, 2021 | 0 Comentarios

Futures are flat to Fridays close, near 3905. To start the April OPEX cycle, 390/3900 is the largest gamma strike and key support, with the 395/3950 (SPY Call Wall) is the first overhead target. While these two strikes are the same major levels we had heading into March OPEX, their size is greatly reduced.

The “options board” has essentially been reset which should allow for high volatility (lots of movement in either direction) this week. To that point our SG implied move today is 1.26%.

Negative gamma and dealer
The change in call positions from Friday is really rather startling as you can see in the chart below. This is what signaled for us to look for a market headwind post OPEX, as it infers dealers have a lot of long stock/futures to unwind against these calls (many of them are obviously deep in the money).

Call Open Interest

Compare this to the put open interest change:

put open interest change

As noted above our key risk level is 3900, with the negative gamma flip point (Vol Trigger/Zero Gamma ) sitting just below (3890).  3850 is where negative gamma begins to really materialize, and if the S&P tests that level larger selling could quickly materialize.
This is depicted in the vanna charts below, wherein you can see the black line shift much higher if the SPX pushes down through 3860. This implies the long exposure of dealers increases as the markets decline, and so they may need to short ES futures to offset that long exposure ( aka move their position back to delta neutral).
SPX Options Vanna

The similar shift happens to the upside as markets move into 3950 which is also the resistance line as noted at the top of our note.

Finally, please remember to check out our longer form post we wrote over the weekend.

On an admin note, SpotGamma is set to launch a host of new features in April. While we aren’t yet ready to release the details we are ready to push out our new OCC dashboard, which you can use here.

Macro Note:
April OPEX range 3800-4000
Signal Name Latest Data Previous SPY NDX QQQ
Ref Price: 3900 3897 390 12913 313
VIX Ref: 14 20.95
SG Gamma Index™: 0.17 -0.03 0.01 0.00 -0.09
Gamma Notional(MM): $-11 $-449 $239 $0 $-570
SGI Imp. 1 Day Move: 1.26%, 49.0 pts Range: 3851.0 | 3949.0
SGI Imp. 5 Day Move: 3900 1.84% Range: 3828.0 | 3972.0
Zero Gamma Level(ES Px): 3890 3917 0
Vol Trigger™(ES Px): 3890 3930 390 12675 315
SG Abs. Gamma Strike: 3900 3900 395 12850 310
Put Wall Support: 3700 3900 380 11500 290
Call Wall Strike: 4000 3950 395 12850 330
CP Gam Tilt: 1.07 0.83 1.09 1.04 0.57
Delta Neutral Px: 3822
Net Delta(MM): $868,133 $1,417,914 $148,990 $26,233 $72,156
25D Risk Reversal -0.08 -0.05 -0.07 -0.08 -0.08
Top Absolute Gamma Strikes:
SPX: [4000, 3950, 3900, 3850]
SPY: [400, 395, 390, 385]
QQQ: [315, 310, 300, 290]
NDX:[13750, 13000, 12850, 12500]
SPX Combo: [3985.0, 3880.0, 3934.0, 3954.0, 3961.0]
NDX Combo: [12786.0, 12580.0]
The Volatility Trigger has moved DOWN: 3890 from: 3930
The PutWall has moved to: 3700 from: 3900
The Call Wall has moved to: 4000 from: 3950
SPX resistance is: 3900 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved has moved UP: $-12MM from: $-449.00MM
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma is moderate favoring further swings in the market