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Informe GT Gamma Levels

Mar 29, 2021 | 0 Comentarios

 

Futures have reversed that last 15minute explosion from Friday.  Despite the elevated SPX price there is little build in positive gamma as the result of call closures (see below).  However because of that increase in ES prices 4000 is now the largest SPX gamma strike, with 395 the largest SPY strike.  In total we look for a lower volatility day today (SG implied move = 65bps) and note a very large Combo resistance bar at 3974. 3925 is initial support with 3950 a large “pivot” area.

QQQ gamma remains sharply negative, and we anticipate higher relative volatility as per recent days.

Most interesting from our data on Friday was call closures – and we show a lot of both SPX and SPY closed on Friday. This was not the case with puts.

SPX SPY Gamma

The vanna models are now showing this resistance into 4000 and we note the “skew” to this chart shows more dealer selling (aka higher positive delta at higher prices) than we’ve seen in recent days.

S&P500 Vanna

In all, we did not pick up any particularly bullish flow from Friday. However we continue to see markets as well supported if they hold 3950 today (due to large gamma) which infers a grind up to 4000 later this week. To the downside, 3900 remains critical support with gamma flipping negative beneath there.

Macro Note:

3900-4000 key April Range.

Signal Name Latest Data Previous SPY NDX QQQ
Ref Price: 3950 3963 394 12935 316
VIX Ref: 20.1 18.86
SG Gamma Index™: 1.17 0.16 0.13 0.00 -0.09
Gamma Notional(MM): $275 $483 $262 $0 $-551
SGI Imp. 1 Day Move: 0.65%, 26.0 pts Range: 3924.0 | 3976.0
SGI Imp. 5 Day Move: 3950 1.67% Range: 3884.0 | 4016.0
Zero Gamma Level(ES Px): 3910 3894 0
Vol Trigger™(ES Px): 3890 3890 392 12725 315
SG Abs. Gamma Strike: 4000 3900 395 12850 310
Put Wall Support: 3700 3900 380 12500 300
Call Wall Strike: 4000 4000 395 12850 330
CP Gam Tilt: 1.54 1.39 1.09 1.03 0.64
Delta Neutral Px: 3813
Net Delta(MM): $1,027,379 $1,046,805 $156,643 $31,517 $73,023
25D Risk Reversal -0.07 -0.06 -0.06 -0.03 -0.07
Top Absolute Gamma Strikes:
SPX: [4000, 3950, 3925, 3900]
SPY: [400, 395, 390, 385]
QQQ: [320, 310, 300, 290]
NDX:[13750, 13500, 13000, 12850]
SPX Combo: [3974.0, 3950.0, 4025.0, 4001.0, 3926.0]
NDX Combo: [12689.0, 12806.0, 13103.0]
The PutWall has moved to: 3700 from: 3900
SPX resistance is: 4000 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved DOWN: $275MM from: $483.00MM
Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5%

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