loader image

Informe GT Gamma Levels

Mar 26, 2020 | 0 Comentarios

Gamma edges a bit higher today as we await the jobs data and possible stimulus package. Overnight futures tested both the 2500 and 2400 level which is interesting given the largest options OI lines up at both of those strikes. I do not anticipate those levels holding much significance after the data release today as equity/futures volume will most likely be quite large and we have a lot of negative gamma to push things along. Its our feeling once again that the gamma setup is similar to last week wherein we have a bit more negative gamma to the upside as dealers are most likely long vega which would kick in on a move lower. The idea being that while we do have negative gamma on “small” moves dealers arent short “convexity” which tails that negative gamma off on downside moves. Meaning there is still some push from dealers if we go lower, but the influence from dealers may be greater on moves up. I bring this up as something to think about after the jobs data release and initial reaction. I do currently feel that the “tail risk” may currently be on a very large move higher possibly into the 2900 area in fairly short order, particularly on any type of positive data point.


Event Time EST Actual Forecast Previous
Unemployment Claims 8:30am 1648K 281K
Final GDP q/q 2.1% 2.1%


Signal Name Latest Data Previous
SPX Ref: 2419.75 2472.5
VIX Ref: 66.03 64.59
Gamma Per Point: $-905,819,297.87 $-835,706,310.60
Zero Gamma Level: 3090.0 3097.0
Vol Trig: 3140.0 3140.0
High Gamma Strike Resistance: 2455.0 Size: 0/10 2455.0
Top Abs. Gamma Strike: 2400.0 2500.0
Put Wall Support: 2400.0 Size: 2/10 2500.0
Call Wall Strike: 2455.0 Size: 0/10 2530.0
CP Gam Tilt: 0.47 0.5
Net Delta: $-11,130,429,642.00 $-10,626,171,157.00


Model Forecast:
Intraday support/resistance levels (during high gamma periods): 2455.0, 2540.0, 2520.0, 2535.0, 2570.0

The Volatility Trigger has moved UP: 3100.0 from: 3050.0
The PutWall has moved to: 2400.0 from: 2500.0
The Call Wall has moved to: 2455.0 from: 2530.0
SPX is below the volatility trigger. The 3090.0 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 DOWN: $-905,819,297.87 from: $-835,706,310.60
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma is moderate favoring further swings in the market