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Informe GT Gamma Levels

Feb 19, 2020 | 0 Comentarios

Futures steady overnight and holding above 3375. We would look to this level as support and 3400 as resistance. It seems the market has been in this position a few times recently and unable to make the last push for 3400. One interesting level is 3390 which has a fairly high level of gamma, and will help provide resistance should the market move higher. Just as our model suggest support for a declining market it does add resistance as the market moves higher, particularly in this case where so much gamma is tied to strikes just overhead. If the Feb OPEX rolling process kicks off that could add a little boost higher to the market as calls are rolled up and out, possibly creating the need for dealers to buy back futures. Positions at 3425 and 3450 are starting to build and could come into play as “High Gamma Strikes” toward the end of the week. For now we are looking at a range of 3375-3400 for today.


Event Time EST Actual Forecast Previous
Building Permits 1.55M 1.45M 1.42M
Core PPI m/m 0.5% 0.2% 0.1%
PPI m/m 0.5% 0.1% 0.1%
FOMC Meeting Minutes 2:00pm


Signal Name Latest Data Previous
SPX Ref: 3378.75 3370.75
VIX Ref: 14.37 14.83
Gamma Per Point: $2,182,295,457.96 $2,100,019,020.83
Zero Gamma Level: 3261.0 3254.0
Vol Trig: 3280.0 3280.0
High Gamma Strike Resistance: 3400.0 Size: 11/10 3400.0
Top Abs. Gamma Strike: 3375.0 3375.0
Put Wall Support: 3100.0 Size: 4/10 3100.0
Call Wall Strike: 3400.0 Size: 11/10 3400.0
CP Gam Tilt: 2.3 2.31
Net Delta: $10,906,823,047.00 $10,443,551,719.00


Model Forecast:
Intraday support/resistance levels (during high gamma periods): 3400.0, 3375.0, 3390.0, 3450.0, 3425.0

SPX resistance is: 3400.0. Support is: 3375.0 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved has moved UP: $2,182,295,457.96 from: $2,100,019,020.83
Gamma is tilted towards Calls, maybe indicating calls are expensive
Positive gamma is high. Markets tend to have little movement (Average High/Low Range of SPX PX = 0.50%) and markets tend to be mean reverting.