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Informe GT Gamma Levels

May 28, 2020 | 0 Comentarios

Futures are roughly flat to where we closed, with a jobs report out later this morning. The SG Index shifts a bit more positive and the High Gamma strike moves to 3050 which is a good sign for bulls. The Vol Trigger and Zero Gamma level both converge around 2960 which interestingly is the low in ES yesterday. It appears therefore that we have 3000 with support today, but there is now a bit more of a positive gamma buffer. We spent some time analyzing options volume yesterday and found some fairly surprising data. The volume tied to contracts which expired yesterday was about 25% of total volume. If you just take put strikes from 3000-2950 yesterday, not one strike had OI > ~2k contracts buy almost all of those strikes had volume > 10k, some with 20k (see here). This means that all those positions were all initiated and either closed or expired worthless on the same day. These were also likely large delta puts (depending on when they were traded) which required dealers to hedge (ses here. You can see that this delta-adjusted volume is often equal to that of all the other expirations combined. Imagine then that as the market drifts lower all these same day put buyers come in, dealers who are short these puts must suddenly short futures. Those puts are very sensitive to underlying price movement and lose value quickly, so dealers will then quickly start buy futures back on a market turn. This same thing is also happening with calls (dealers start short calls, buying futures). This appears to be to all be speculative volume and in my opinion is a big reason for the intraday volatility. It also seems like a recent phenomenon to me, but I am still trying to source back data to confirm. In summary, this infers that this will continue to be a very active and volatile market which can produce fairly large momentum swings.


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
Prelim GDP q/q -4.8% -4.8%
Core Durable Goods Orders m/m -14.8% -0.4%
Durable Goods Orders m/m -19.0% -14.7%
Unemployment Claims 2100K 2438K
Pending Home Sales m/m 10:00am -15.0% -20.8%


Signal Name Latest Data Previous
SPX Ref: 3038 3024
VIX Ref: 28.19 27.53
SG Gamma Index: 0.32 0.18
Gamma Notional: $320.47MM $320.34MM
SGI Imp. 1SD Move: 0.9%
Zero Gamma Level: 2955.0 2942.0
Vol Trig: 2960 2990
High Gamma Strike Resistance: 3050 3000
Top Abs. Gamma Strike: 3000 3000
Put Wall Support: 2800 2990
Call Wall Strike: 3050 3000
CP Gam Tilt: 1.24 1.24
Delta Neutral Px: 2860.0
Net Delta: $14,752.37MM $14,544.80MM
25D Risk Reversal -0.1 -0.1


Model Forecast:
Top Absolute Gamma Strikes: [3000, 2900, 2800, 3050, 2950]
The Volatility Trigger has moved DOWN: 2960 from: 2990
The PutWall has moved to: 2800 from: 2990
The Call Wall has moved to: 3050 from: 3000
The High Gamma Strike has moved to: 3050 from: 3000
SPX resistance is: 3050. Support is: 3000 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved has moved UP: $320.00MM from: $320.00MM
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%