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Informe GT Gamma Levels

Abr 7, 2020 | 0 Comentarios

Another major move higher in futures pushes us well through 2700 in the SPX. A friend just noted that the Nasdaq is only down ~6% for the year now. Negative gamma obviously shifts closer to zero but we are still a ways from zero. Keep in mind the higher we move the less of an effect zero gamma plays, and the bulk of options positioning is down around 2600 which lends to lack of stability here. To that point we are at an interesting level in the SG Index in that grey zone between zero (which forecasts low volatility) and ~1 which implies very wide ranges. As we had mentioned in the past these gamma figures imply volatility that is not necessarily associated with a direction. Despite my feeling yesterday that 2600 would offer resistance the price move itself falls in line with gamma price range forecasts. If you examine the scatter plot here (https://spotgamma.com/daily-sg-index/) you can see how we sit on the edge of that volatility demarcation line, and how wide the price distribution is if that gamma shifts to the left (negatively). We are now looking for for options to “backfill” in this rapid move higher. We’d like to see 2700 strike volume pick up and help build a base closer to where the SPX is currently trading to help build a base. On a further rally there is a fair amount of OI at 2800 which we would look to as resistance.


Event Time EST Actual Forecast Previous
No events


Signal Name Latest Data Previous
SPX Ref: 2733.5 2660.5
VIX Ref: 44.3 44.21
SG Gamma Index: -6.3 -11.3
Gamma Per Point: $-381.33MM $-518.79MM
Zero Gamma Level: 3007.0 3016.0
Vol Trig: 3025.0 3025.0
High Gamma Strike Resistance: 2780.0 Size: 1/10 2670.0
Top Abs. Gamma Strike: 2700.0 2600.0
Put Wall Support: 2750.0 Size: 1/10 2600.0
Call Wall Strike: 2780.0 Size: 0/10 2670.0
CP Gam Tilt: 0.76 0.69
Net Delta: $-1,236.04MM $-3,458.08MM


Model Forecast:
Intraday support/resistance levels (during high gamma periods): 2780.0, 2785.0, 2760.0, 2770.0, 2735.0

The PutWall has moved to: 2750.0 from: 2600.0
The Call Wall has moved to: 2780.0 from: 2670.0
The High Gamma Strike has moved to: 2780.0 from: 2670.0
SPX is below the zero gamma level. The 3007.0 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: $-381.33MM from: $-518.79MM
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma is moderate favoring further swings in the market