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Informe GT Gamma Levels

May 27, 2020 | 0 Comentarios

Futures were fairly volatile overnight trading to 3020 -> 2985 ->3035. The SG Index and gamma notional readings both shift more positive. I have to admit that this is an unusual setup. First, options volume continues to be somewhat dominated by the weekly expirations. I think this is creating some of the “stability” issues as hedges are added/unwound to address those very short term trades. If you look at the OI Change charts from yesterday we saw a lot of SPY calls and some SPX calls closed out. This could well have been some of the fuel that pushed us lower into the close yesterday (long calls closed leads to dealers closing long futures hedges as they were short those calls). Seeing large strips of call OI net closed seems odd for a random weekly expiration. Second, we continue to be slow to build call open interest above 3000. I mentioned yesterday that the market rarely closes above the High Gamma strike. Typically when this does happen we see the High Gamma strike shift higher the next day and “confirms” the move. This does not happen today, as we see some buildup at the 3050 strike but whats more notable is the reduction in positive gamma at 3000 (charts here “Pos Gamma Strike Change”). Said another way, from our data perspective the market is running ahead of where the options market seems to be pricing it. Too add some confusion to this the “runs” are happening in the overnight futures session, and while yesterdays run was “corrected”, well have to see if that happens again today. This leads us to look for more days like yesterday, with fairly rapid shifts particularly around the open and close. To that end we see resistance at 3050 with support at 3000. The Vol Trigger shows now just under 3000 which indicates holding that level is key to maintaining the uptrend and suggests a spike in volatility if we broken.


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
No events


Signal Name Latest Data Previous
SPX Ref: 3028 2989
VIX Ref: 27.14 28.57
SG Gamma Index: 0.18 -0.30
Gamma Notional: $338.06MM $227.38MM
SGI Imp. 1SD Move: 1.1% 2994.692 | 3061.308
Zero Gamma Level: 2946.0 2908.0
Vol Trig: 2990 2955
High Gamma Strike Resistance: 3000 3000
Top Abs. Gamma Strike: 3000 2950
Put Wall Support: 2990 2950
Call Wall Strike: 3000 3000
CP Gam Tilt: 1.25 1.17
Delta Neutral Px: 2851.0
Net Delta: $14,564.03MM $14,261.00MM
25D Risk Reversal -0.1 -0.1


Model Forecast:
Top Absolute Gamma Strikes: [3000, 2900, 2800, 2950, 3050]
The Volatility Trigger has moved UP: 2990 from: 2955
The PutWall has moved to: 2990 from: 2950
SPX is above the volatility trigger, resistance is: 3000 Support is: 3000
The total gamma has moved has moved UP: $338.00MM from: $227.00MM
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%