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Informe GT Gamma Levels

May 21, 2020 | 0 Comentarios

Futures pulled back some overnight to the 2950 level but held a pretty tight range. We see (and have been seeing) both the Zero Gamma level and Vol Trigger shift higher over the last several days, and the Vol Trigger actually above moved above SPX to 2970. This is interesting because if you look at the OI Change (here) you can see that we net closed calls below 295 & 2950. Despite that drop in call interest we registered a slightly higher total gamma number today. This activity seems to suggest that the options market is shifting up with SPX movement, but also reflects the rather poor options volume/open interest. You could argue the higher Vol Trigger is a bit more in sync with our notion that “real” positive gamma appears at 3000. As this shift occured on light volume We want to see this VT level hold tomorrow to cofirm. Finally, we also see the High Gamma strike at 2980 which is a level that has stopped the market on a few recent attempts. This sets up a fairly clear range of 2950 – 2980 on a move higher. A break lower may still see support at 2900. The Fed speaks later today which always adds uncertainty to any outcome.


Market Outlook:
June Expiration range top: 3000, key support 2900. Break below 2900 invites a larger drawdown due to negative gamma.


Event Time EST Actual Forecast Previous
Philly Fed Manufacturing Index -40.0 -56.6
Unemployment Claims 2400K 2981K
Flash Manufacturing PMI 9:45am 39.3 36.1
Fed Chair Powell Speaks 2:30pm


Signal Name Latest Data Previous
SPX Ref: 2949 2971
VIX Ref: 28.7 27.99
SG Gamma Index: 0.41 0.02
Gamma Notional: $63.27MM $215.70MM
SGI Imp. 1SD Move: 1.2% 2913.612 | 2984.388
Zero Gamma Level: 2927.0 2919.0
Vol Trig: 2970 2920
High Gamma Strike Resistance: 2980 3000
Top Abs. Gamma Strike: 3000 2900
Put Wall Support: 2800 2800
Call Wall Strike: 2980 3000
CP Gam Tilt: 1.04 1.16
Delta Neutral Px: 2861.0
Net Delta: $14,094.14MM $14,072.41MM
25D Risk Reversal -0.09 -0.11


Model Forecast:
Top Absolute Gamma Strikes: [3000, 2900, 2800, 2950, 2975]
The Volatility Trigger has moved UP: 2970 from: 2920
The Call Wall has moved to: 2980 from: 3000
The High Gamma Strike has moved to: 2980 from: 3000
SPX is below the volatility trigger. The 2927.0 level is first level of resistance and is critical as its the negative gamma threshold.
The trigger level of: 2970 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 DOWN: $63.27MM from: $215.00MM
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%