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Informe GT Gamma Levels

Abr 5, 2021 | 0 Comentarios

Futures have pushed higher from Thursdays close, to 4030. With that the Call Wall (resistance) has shifted to 4050 for SPX and 410 for SPY.   With this move higher the total market gamma increases (total S&P gamma ~$2bn) which indicates a reduction in volatility and a tighter estimated range (SG Est move=0.63%).

The largest gamma strike remains at 4000 which should provide support today. Part of the reason for our shift in the Call Wall to 4050 was the addition of ~20k puts to 4000 on Thursday. We view this as constructive as it “backfills” the move higher with support.

For the first time in many weeks we now see QQQ gamma as flat (it was sharply negative) and anticipate a reduction in volatility there, too.  There is not much resistance on rallies, but we do see it as “resistance” as opposed to the negative gamma/vanna tailwind of the last several days.

https://optionelements.es/wp-content/uploads/2022/04/QQQ_CBOE_curve_vanna-2.png

Overall we see little signs of major risk, and the SPX options markets appear to be re-syncing with the pre covid-Crash behavior (large gamma building, levels systematically rolling up). Our models look for a slow consistent grind higher now, likely into 4/16 OPEX.

We wanted to remind everyone of the new features we just launched, with a few more on the way. You can review those here.

Macro Note:

3900-4000 key April Range.

Signal Name Latest Data Previous SPY NDX QQQ
Ref Price: 4031 4010 403 13363 326
VIX Ref: 17.74 17.33
SG Gamma Index™: 1.50 1.48 0.10 0.01 -0.04
Gamma Notional(MM): $714 $541 $1,172 $2 $-181
SGI Imp. 1 Day Move: 0.63%, 25.0 pts Range: 4006.0 | 4056.0
SGI Imp. 5 Day Move: 4031 1.91% Range: 3954.0 | 4109.0
Zero Gamma Level(ES Px): 3931 3940 0
Vol Trigger™(ES Px): 3920 3920 399 12725 320
SG Abs. Gamma Strike: 4000 4000 400 12850 330
Put Wall Support: 3800 3800 380 12500 290
Call Wall Strike: 4050 4050 410 12850 330
CP Gam Tilt: 1.76 1.5 1.5 1.21 0.85
Delta Neutral Px: 3805
Net Delta(MM): $1,086,598 $1,080,803 $161,660 $35,577 $69,934
25D Risk Reversal -0.06 -0.05 -0.05 -0.06 -0.05
Top Absolute Gamma Strikes:
SPX: [4050, 4000, 3950, 3900]
SPY: [400, 399, 395, 390]
QQQ: [330, 320, 315, 310]
NDX:[13750, 13000, 12850, 12500]
SPX Combo: [4059.0, 4011.0, 4112.0, 4035.0, 4043.0]
NDX Combo: [13596.0, 12981.0]
SPX resistance is: 4050. Support is: 4000 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved has moved UP: $714MM from: $541.00MM
Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5%

2021-04-05_CBOE_gammagraph_AMSPX.png2021-04-05_CBOE_gammagraph_AMSPY.png2021-04-05_CBOE_gammagraph_AMQQQ.png
2021-04-05_CBOE_gammagraph_AMNDX.png
2021-04-05_CBOE_gammagraph_AMIWM.png
2021-04-05_CBOE_gammagraph_AMRUT.png