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Informe GT Gamma Levels

Abr 20, 2020 | 0 Comentarios

Markets today are showing some reversal of Fridays ramp higher with futures quite interestingly at the ~2815 level. I mark this as interesting because this is the delta neutral price from Fridays close. Oil is obviously a big story and while we do not have any comments about that market its notable that high volatility in an asset like that rarely stays contained. The expiration does push our gamma rates closer to zero, but note we still are in the negative zone. This means that should some real sell volume materialize dealers may help push it along. It also appears from our perspective that put positioning is quite light, and if that picks up it may bring more selling. We are cautious here, and see the table set for higher volatility. 2800 is the key level as it does have a lot of open interest should the selling not have much behind it. On the upside we highlight 2900 as a level of high open interest but also the zero gamma area, which can often show as a resistance level. On a larger time frame 3000 has a lot of call interest and we note that level as resistance on a more substanital rally.


Market Outlook:
2800 key strike due to large OI. Break of that level may spark larger selling. 2900 first resistance due to zero gamma level and large OI. 3000 is our initial range top going towards May OPEX.


Event Time EST Actual Forecast Previous
No events


Signal Name Latest Data Previous
SPX Ref: 2818 2870
VIX Ref: 42.11 38.21
SG Gamma Index: -0.21 -0.36
Gamma Per Point: $-149.74MM $-250.18MM
SGI Imp. 1SD Move: 0.8%
Zero Gamma Level: 2904.0 2928.0
Vol Trig: 2870 2760
High Gamma Strike Resistance: 2880 2900
Top Abs. Gamma Strike: 2800 2800
Put Wall Support: 2850 2500
Call Wall Strike: 2880 2900
CP Gam Tilt: 0.89 0.85
Delta Neutral Px: 2818.0
Net Delta: $13,995.32MM $17,070.55MM
25D Risk Reversal -0.14 -0.15


Model Forecast:
Top Absolute Gamma Strikes: [2800, 3000, 2900, 2850, 2500]
SPX is below the volatility trigger. The 2904.0 level is first level of resistance and is critical as its the negative gamma threshold.
The trigger level of: 2870 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: $-149.74MM from: $-150.00MM
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma is moderate favoring further swings in the market