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Informe GT Gamma Levels

May 12, 2020 | 0 Comentarios

Markets little changed overnight and we have key levels shift a bit more positive than yesterday: 2900 large support with light resistance more in the 2930-2940 SPX area. Should cash markets open >2940 we may see that 2930-2940 become support. Many of you have noticed we have been tracking the 25 Delta risk reversal in the table below. You can see on this chart that calls values have made a positive move relative to puts along with a jump in CP Tilt(this is bullish). Combine that with gamma numbers that are also a bit more positive and we seem to have a decent setup in place to make a run to 3000 into Friday.


Market Outlook:
Into Fridays May Monthly OPEX, we note 3000 as top of range, with 2900 being key to positive gamma. 2800 is the bottom of the range, with 2850 support. Depending on where the SPX closes Friday we could see state change in markets next week.


Event Time EST Actual Forecast Previous
CPI m/m 8:30am -0.7% -0.4%
Core CPI m/m -0.2% -0.1%


Signal Name Latest Data Previous
SPX Ref: 2927 2917
VIX Ref: 27.24 27.63
SG Gamma Index: 0.20 0.15
Gamma Notional: $8.49MM $-23.26MM
SGI Imp. 1SD Move: 1.0%
Zero Gamma Level: 2905.0 2895.0
Vol Trig: 2930 2925
High Gamma Strike Resistance: 2940 2930
Top Abs. Gamma Strike: 2900 2900
Put Wall Support: 2700 2700
Call Wall Strike: 2940 2930
CP Gam Tilt: 1.01 .99
Delta Neutral Px: 2840.0
Net Delta: $14,720.99MM $14,705.38MM
25D Risk Reversal -0.1 -0.1


Model Forecast:
Top Absolute Gamma Strikes: [2900, 3000, 2800, 2950, 2850]
SPX is below the volatility trigger. The 2905.0 level is first level of resistance and is critical as its the negative gamma threshold.
The trigger level of: 2930 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 has moved UP: $8.00MM from: $-23.26MM
Gamma is tilted towards Puts, may indicate puts are expensive
Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5%