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Informe GT Gamma Levels

May 26, 2020 | 0 Comentarios

Futures used the holiday market to jump up and tag 3000. This creates an interesting situation now for the S&P500. First, we see the SG Index shift negative which is in contrast to Net Gamma readings which are higher. Why? If you look at the OI change you can see there were a fair amount of calls closed out on Friday which reduces positive gamma and may be what the SG Index is reflecting. If the “retail” positions in SPY are in fact long 300 calls that can help put dealers in more of a negative gamma situation, too. Obviously SPY needs to be netted against SPX but this may indicate less resistance if this market moves higher. Note the gamma curve in the charts below (blue horizontal line) also show little forcasted change to gamma levels with higher SPX prices. Therefor we are reading this situation as a low gamma market which indicates volatility (price movement up and down) may remain – normally we look for lower volatility as the market moves higher. We also need to watch closely how these 300/3000 strike positions are closed/rolled if they get into the money. For today we are watching 3000 as our support/resistance line with a bit of resistance at 3025 and more at 3050. 2975 is first support, with 2950 larger support on a move lower.


Market Outlook:
Going to June OPEX we see 3000 resistance and 2900 as key support. Below 2900 exposes us to an increase in negative gamma and the potential of large drawdowns.


Event Time EST Actual Forecast Previous
CB Consumer Confidence 10:00am 87.1 86.9


Signal Name Latest Data Previous
SPX Ref: 3007 2956
VIX Ref: 28.19 28.16/td>
SG Gamma Index: -0.31 0.10
Gamma Notional: $296.09MM $109.31MM
SGI Imp. 1SD Move: 0.9% 2976.93 | 3037.07
Zero Gamma Level: 2925.0 2904.0
Vol Trig: 2955 2930
High Gamma Strike Resistance: 3000 3000
Top Abs. Gamma Strike: 2950 3000
Put Wall Support: 2950 2800
Call Wall Strike: 3000 3000
CP Gam Tilt: 1.23 1.07
Delta Neutral Px: 2859.0
Net Delta: $14,345.68MM $14,187.12MM
25D Risk Reversal -0.1 -0.1


Model Forecast:
Top Absolute Gamma Strikes: [2950, 3000, 2900, 2800, 2850]
The Volatility Trigger has moved UP: 2955 from: 2930
The PutWall has moved to: 2950 from: 2800
SPX is above the volatility trigger, resistance is: 3000 Support is: 3000
The total gamma has moved has moved UP: $296.00MM from: $109.00MM
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%