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Informe GT Gamma Levels

Abr 29, 2020 | 0 Comentarios

Futures are back retesting the 2900 level which remains our High Gamma strike and implies resistance. 2900 is the first real level of positive gamma we have seen since the crash and you can visualize the buildup in the chart here: “Call Gamma by Strike”. However the current positive gamma at this strike is maybe 1/10th of levels we saw at various strikes back in February. On the downside, due to that put activity yesterday we see the SG Index has moved back to the negative side, and the zero gamma level has shifted up towards 2888. All these levels are now quite consolidated around 2900, with the “safety” of positive gamma above and the possibility of expanding volatility should we stay below 2900. Of course we have the Fed and FOMC decision today which should act as the catalyst to solidify which gamma regime we’re in for the near future.


Market Outlook:
Estimated targets for May OPEX are 3000 or 2700.


Event Time EST Actual Forecast Previous
Advance GDP q/q 8:30am -4.0% 2.1%
Advance GDP Price Index q/q 1.0% 1.3%
Pending Home Sales m/m 10:00am -13.3% 2.4%
FOMC Statement 2:00pm
Federal Funds Rate <0.25% <0.25%
FOMC Press Conference 2:30pm


Signal Name Latest Data Previous
SPX Ref: 2888 2855
VIX Ref: 32.8 34.07
SG Gamma Index: -0.12 0.17
Gamma Per Point: $-85.99MM $120.06MM
SGI Imp. 1SD Move: 0.01
Zero Gamma Level: 2888.0 2883.0
Vol Trig: 2845 2845
High Gamma Strike Resistance: 2900 2900
Top Abs. Gamma Strike: 2800 2800
Put Wall Support: 2500 2500
Call Wall Strike: 2900 2900
CP Gam Tilt: 0.94 1.09
Delta Neutral Px: 2831.0
Net Delta: $14,653.76MM $14,366.64MM
25D Risk Reversal -0.13 -0.12


Model Forecast:
Top Absolute Gamma Strikes: [2800, 3000, 2900, 2850, 2950]
SPX resistance is: 2900. Support is: 2800 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved DOWN: $-85.99MM from: $35.00MM
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma is moderate favoring further swings in the market