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Informe GT Gamma Levels

Abr 22, 2020 | 0 Comentarios

Futures up a bit this morning and negative gamma moves down. The SG Index shifted into the cusp of the “danger zone” wherein the estimated 1 day SPX return (cash open->close) is now 2%, from 1% yesterday. This simply means that the volatility forecast has increased. The tricky part of trying to evaluate the current market is that volume seems dead which would imply little market movement. As the market is currently in the middle of a band of larger open interest strikes, which could mean that trading tied to these strikes will keep the market contained to the 2750-2800 area. A spark to move things lower may bring out dealer sell volume, but on the upside dealer buying wanes over the 2800 area. Therefore we arent anticipating much of a move today, but see greater risk to the downside and are a bit less inclined to “buy dips” and instead favor “selling rips”.


Market Outlook:
Short term: 2700 support 2800 resistance.


Event Time EST Actual Forecast Previous
President Trump Speaks 5:46pm


Signal Name Latest Data Previous
SPX Ref: 2762 2731
VIX Ref: 44.36 45.54
SG Gamma Index: -0.49 -0.27
Gamma Per Point: $-353.17MM $-289.90MM
SGI Imp. 1SD Move: 2.0%
Zero Gamma Level: 2904.0 2930.0
Vol Trig: 2775 2825
High Gamma Strike Resistance: 3100 3100
Top Abs. Gamma Strike: 2800 2800
Put Wall Support: 2500 2500
Call Wall Strike: 3100 3100
CP Gam Tilt: 0.75 0.85
Delta Neutral Px: 2818.0
Net Delta: $14,295.43MM $13,781.14MM
25D Risk Reversal -0.16 -0.16


Model Forecast:
Top Absolute Gamma Strikes: [2800, 3000, 2500, 2700, 2900]
The Volatility Trigger has moved DOWN: 2775 from: 2825
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: 2775 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: $-353.17MM from: $-290.00MM
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma is moderate favoring further swings in the market