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Informe GT Gamma Levels

May 6, 2020 | 0 Comentarios

Futures overnight bounced off the 2845 level which is just at the volatility trigger and a large gamma level of 2850. Despite little volume yesterday there was a few interesting shifts in key levels. First the High Gamma Strike (we see as resistance) moved to 3000, which denotes that this is where the most call gamma sits. This level change was not due to a large call addition at 3000, but apparently calls being removed at 2850. Second the Put Wall moves down towards 2500 from 2700. Put volume yesterday seemed to indicate players adding hedges into the rally and lower vols and this is reflected in this indicator shifting lower. I would note these quick shifts in levels speaks to how fluid this situation is due to lack of volume and open interest. While we still see the 2800-2900 range in play, one large player could shift the board quite quickly.


Market Outlook:
Into May we note 3000 as top of range, with 2900 being key to positive gamma. 2800 is the bottom of the range, with negative gamma and the possibility of a sharp “gamma trap” type move lower should that level break.


Event Time EST Actual Forecast Previous
ADP Non-Farm Employment Change 8:15am -20500K -27K


Signal Name Latest Data Previous
SPX Ref: 2882 2860
VIX Ref: 32.28 32.95
SG Gamma Index: -0.24 -0.16
Gamma Notional: $-85.96MM $-180.26MM
SGI Imp. 1SD Move: 1.14%
Zero Gamma Level: 2889.0 2896.0
Vol Trig: 2845 2840
High Gamma Strike Resistance: 3000 2850
Top Abs. Gamma Strike: 2800 2800
Put Wall Support: 2500 2700
Call Wall Strike: 3000 2850
CP Gam Tilt: 0.94 0.91
Delta Neutral Px: 2824.0
Net Delta: $14,583.89MM $14,448.86MM
25D Risk Reversal -0.12 -0.14


Model Forecast:
Top Absolute Gamma Strikes: [2800, 2900, 3000, 2850, 2700]
The Volatility Trigger has moved UP: 2845 from: 2840
The PutWall has moved to: 2500 from: 2700
The Call Wall has moved to: 3000 from: 2850
The High Gamma Strike has moved to: 3000 from: 2850
SPX resistance is: 3000. Support is: 2800 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved has moved UP: $-86.00MM from: $-181.00MM
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma is moderate favoring further swings in the market