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Informe GT Gamma Levels

Abr 6, 2020 | 0 Comentarios

We sincerely apologize for the delay in todays note. We’ve been battling connectivity issues this morning – generally we would just switch locations which you can’t do during quarantine. At any rate its a very interesting market today as futures are up sharply after Trumps update last night. Whats curious is that our gamma levels all pushed a bit more negative over the weekend – so we have a bit of a divergence here (note the SG index went more negative – indicating higher volatility). While that divergence is in put/call ratios the large gap up in futures does drop overall gamma down quite a bit. 2600 is now ranking as a top 5 put and call level – so it may have some holding power similar to 2500 last week. As such we don’t see the market making a serious push over 2600 without a fresh round of constructive news..


Event Time EST Actual Forecast Previous
No events


Signal Name Latest Data Previous
SPX Ref: 2575.0 2484.0
VIX Ref: 44.79 48.22
SG Gamma Index: -10.6 -0.7
Gamma Per Point: $-673.27MM $-811.68MM
Zero Gamma Level: 3044 3052.0
Vol Trig: 3025.0 3000.0
High Gamma Strike Resistance: 2570.0 Size: 0/10 2530.0
Top Abs. Gamma Strike: 2600.0 2500.0
Put Wall Support: 2550.0 Size: 2/10 2500.0
Call Wall Strike: 2585.0 Size: 0/10 2530.0
CP Gam Tilt: 0.65 0.57
Net Delta: $-5,908.04MM $-8,659.20MM


Model Forecast:
Intraday support/resistance levels (during high gamma periods): 2570.0, 2580.0, 2585.0, 2530.0, 2545.0

The Volatility Trigger has moved UP: 3025.0 from: 3000.0
The PutWall has moved to: 2550.0 from: 2500.0
The Call Wall has moved to: 2585.0 from: 2530.0
The High Gamma Strike has moved to: 2570.0 from: 2530.0
SPX is below the zero gamma level. The 3044 level is first level of resistance and is critical as its the negative gamma threshold.
Also watch the trigger level of: 3025.0as it may 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 has moved UP: $-673.27MM from: $-811.68MM
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma is moderate favoring further swings in the market