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Informe GT Gamma Levels

Abr 16, 2020 | 0 Comentarios

Futures tested 2800 overnight before backing off to the 2775 area. Open interest data shows larger positions built up at 2800, particularly on the call side which may help it hold as resistance. Again we’re looking for tomorrow mornings AM expiration as a catalyst and do not expect much out of todays market – particularly once we get through this AM’s job report. We will have a few data points around tomorrows expiration for this evenings report.


Market Outlook:
2800 playing as a key strike with resistance building over that level and 2700 support.


Event Time EST Actual Forecast Previous
Unemployment Claims 5350K 6606K
Building Permits 1.30M 1.45M
Philly Fed Manufacturing Index -30.0 -12.7


Signal Name Latest Data Previous
SPX Ref: 2775 2767
VIX Ref: 41.97 40.84
SG Gamma Index: -0.34 -0.15
Gamma Per Point: $-247.36MM $-107.26MM
SGI Imp. 1SD Move: 2.0%
Zero Gamma Level: 2935.0 2892.0
Vol Trig: 2780 2755
High Gamma Strike Resistance: 2800 2900
Top Abs. Gamma Strike: 2800 2800
Put Wall Support: 2600 2500
Call Wall Strike: 2800 2900
CP Gam Tilt: 0.85 0.93
Delta Neutral Px: 0
Net Delta: $16,344.77MM $15,939.87MM
25D Risk Reversal -0.14 -0.13


Model Forecast:
Top Absolute Gamma Strikes: [2800, 2750, 2900, 2700, 3000]
SPX is below the volatility trigger. The 2935.0 level is first level of resistance and is critical as its the negative gamma threshold.
The trigger level of: 2780 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: $-247.36MM from: $-243.00MM
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma is moderate favoring further swings in the market