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Informe GT Gamma Levels

May 18, 2020 | 0 Comentarios

There was an issue with our email server today and apparently many messages werent delivered. As a result we are resending the AM note. Apologies for the problem | Markets are rallying to start the week and testing 2900. We see a big shift higher in the Zero Gamma level (~2900) and the SG Index stays in the “high volatility” zone. 2900 is first resistance as a lot of open interest sits at that strike. There is still very little “stability” in this market – meaning we can’t trust rallies or selloffs. We do not see anything in the data that gives us a directional bias to this volatility (remember: volatility simply means SPX movement up or down). We wrote a note here in regards to some data which points to record long call/short put positioning in the S&P500 by “small traders”. This data doesnt change our market outlook all that much in the near term in terms of targets (3000 top, 2800 support) however this could have an impact on volatility as it increases dealers negative gamma to the upside. This indicates that as the market goes higher dealers buy more futures, and this really kicks in if we approach the 3000 level. If you look at our model charts below you can see the change in shape of the gamma curve (blue shaded area) and how it changes at 3000/300(spy). This infers that >3000 we may build some “stability” into June expiration as all those calls start to increase in gamma and hedging starts to be tied to that level. Keep in mind this data is in regards to “small trader” and so we take this data into account while keeping with our standard models.

 

Market Outlook:
June Expiration range top: 3000, key support 2800. Break below 2800 invites a larger drawdown due to negative gamma.

 

Event Time EST Actual Forecast Previous
No events

 

Signal Name Latest Data Previous
SPX Ref: 2888 2850
VIX Ref: 30.53 31.69
SG Gamma Index: -0.50 -0.57
Gamma Notional: $-84.71MM $-289.44MM
SGI Imp. 1SD Move: 1.6%
Zero Gamma Level: 2896.0 2857.0
Vol Trig: 2860 2850
High Gamma Strike Resistance: 3000 3150
Top Abs. Gamma Strike: 2800 2800
Put Wall Support: 2850 2750
Call Wall Strike: 3000 3150
CP Gam Tilt: 0.94 0.85
Delta Neutral Px: 2831.0
Net Delta: $13,603.45MM $15,063.50MM
25D Risk Reversal -0.13 -0.13

 

Model Forecast:
Top Absolute Gamma Strikes: [2800, 2900, 2850, 3000, 2600]
The Volatility Trigger has moved UP: 2860 from: 2850
The PutWall has moved to: 2850 from: 2750
The Call Wall has moved to: 3000 from: 3150
The High Gamma Strike has moved to: 3000 from: 3150
SPX resistance is: 3000. Support is: 2800 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved DOWN: $-84.71MM from: $148.00MM
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma is moderate favoring further swings in the market