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Informe GT Gamma Levels

May 20, 2020 | 0 Comentarios

Markets rebounded to the 2950 level after testing 2910 (zero gamma level) in ES overnight. The SG Gamma Index moves back toward zero in what seems like a game of ping-pong. Positive gamma just cannot find a footing. One of the more interesting data points from yesterday was about 200k calls were added at the 300 strike for SPY. If you look at the SPY OI Change chart here you can see this is now a fairly large level. I find this a interesting in light of the data that came out recently highlighting large retail “long call” activity (read here). In my view the more calls that accrue at 300/3000 the better the chances we make that level. The High Gamma strike has now shifted to 3000 however call positions are still very light. Until markets breach 3000 I think we remain susceptible to moves like yesterday afternoon. We see 2950 as a support/resistance pivot today with 2920 support below and light resistance at 2975.


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
FOMC Meeting Minutes


Signal Name Latest Data Previous
SPX Ref: 2950 2930
VIX Ref: 28.85 29.88
SG Gamma Index: 0.02 0.66
Gamma Notional: $115.66MM $-0.36MM
SGI Imp. 1SD Move: 1.01%
Zero Gamma Level: 2899.0 2908.0
Vol Trig: 2920 2890
High Gamma Strike Resistance: 3000 2970
Top Abs. Gamma Strike: 2900 3000
Put Wall Support: 2800 2800
Call Wall Strike: 3000 2970
CP Gam Tilt: 1.08 1.0
Delta Neutral Px: 2834.0
Net Delta: $13,972.96MM $13,779.08MM
25D Risk Reversal -0.11 -0.1


Model Forecast:
Top Absolute Gamma Strikes: [2900, 2800, 3000, 2950, 2850]
The Volatility Trigger has moved UP: 2920 from: 2890
The Call Wall has moved to: 3000 from: 2970
The High Gamma Strike has moved to: 3000 from: 2970
SPX resistance is: 3000. Support is: 2900 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved has moved UP: $115.00MM from: $-1.00MM
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%