| The COVID drug news sparked a rally in futures up into the 2880 area. Interestingly this is right around where the zero gamma level is, and 2900 does have a fair amount of open interest. This move is also interesting from a timing perspective with a fair amount of OI coming of the board at 9:30EST. Despite the rally in futures our gamma figures dont change much, but obviously we will have to assess this post OPEX. We prefer to watch gamma levels into OPEX and evaluate delta for a view into what may happen post OPEX. The idea being that there will be a lot of options removed at expiration and dealers will have to buy/sell futures to get back to delta neutral. In this case we read the “delta neutral” strike at 2815 and as dealers were probably short puts here they are happy to have this overnight move and may have been buying back short hedges. The last two monthly expirations have seen turning points the Monday following OPEX, and considering we are at/near zero gamma (notional) the stage could be set for a turn. |
| Market Outlook: |
| OPEX today evaluating new range. |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2868 | 2787 |
| VIX Ref: | 38.14 | 40.11 |
| SG Gamma Index: | -0.36 | -0.35 |
| Gamma Per Point: | $-250.01MM | $-248.70MM |
| SGI Imp. 1SD Move: | 2.0% | |
| Zero Gamma Level: | 2926.0 | 2930.0 |
| Vol Trig: | 2760 | 2780 |
| High Gamma Strike Resistance: | 2900 | 2900 |
| Top Abs. Gamma Strike: | 2800 | 2800 |
| Put Wall Support: | 2500 | 2500 |
| Call Wall Strike: | 2900 | 2800 |
| CP Gam Tilt: | 0.85 | 0.85 |
| Delta Neutral Px: | 2811.0 | |
| Net Delta: | $17,058.65MM | $16,387.4MM |
| 25D Risk Reversal | -0.15 | -0.14 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [2800, 2750, 2850, 2900, 3000] SPX resistance is: 2900. Support is: 2800 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $-250.01MM from: $-246.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |