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Informe GT Gamma Levels

Jun 2, 2020 | 0 Comentarios

Higher we go as futures have been steadily bid and are now around 3070. First I wanted to mentioned something I missed yesterday. A friend of ours posted this chart showing it was the lowest daily range in ES futures since Feb. What I find interesting about that is yesterday we had this unique shift in our levels which brought a very tight range, showing they consolidated in the 3040/3050 area. Interesting coincidence. On to today, we see notional gamma levels fairly flat despite a higher market. This lines up with our sentiment from last night that we saw more net puts added over calls. The High Gamma Strike does shift higher to 3100, and we are looking at 3050 for support. The SPX/SPY combo gives us resistance at 3075. This shift higher in ranges is what we look for to coincide with higher prices, you may recall last week when SPX/ES was “outpacing” our data, and the market did end up consolidating. If I find one thing troubling its still a lack of call positions above – gamma should be building as we go higher. The current situation very much reminds me of the market from Jan/Feb when we had this seemingly relentless bid. I think much of this now (as then) has to do with long gamma particularly in individual names. We wrote about this here if you want to review the idea. Essentially if dealers are short calls they need to buy the underlying and/or futures as it goes higher. This is the “call gamma trap” (here). We are going to be doing some work to identify a possible inflection point not just in SPX but some individual names, too. The obvious place for a possible turn would be June OPEX (6/19) but we’ll have to see what the data shows.


Market Outlook:
Support at 3000 into June, with a break in bull trend and higher volatility anticipated below that level. 3100 is setting up as resistance.


Event Time EST Actual Forecast Previous
No events


Signal Name Latest Data Previous
SPX Ref: 3072 3052
VIX Ref: 27.65 28.39
SG Gamma Index: 0.30 0.40
Gamma Notional: $298.16MM $243.84MM
SGI Imp. 1SD Move: 0.9% 3047 | 3096
Zero Gamma Level: 2988.0 2969.0
Vol Trig: 3055 3040
High Gamma Strike Resistance: 3100 3050
Top Abs. Gamma Strike: 3000 3050
Put Wall Support: 2800 3040
Call Wall Strike: 3100 3050
CP Gam Tilt: 1.23 1.18
Delta Neutral Px: 2892.0
Net Delta: $14,982.52MM $14,841.97MM
25D Risk Reversal -0.1 -0.1


Model Forecast:
Top Absolute Gamma Strikes: [3200, 3150, 3100, 3050, 3025, 3000, 2950, 2900, 2850, 2800]
The Volatility Trigger has moved UP: 3055 from: 3040
The PutWall has moved to: 2800 from: 3040
The Call Wall has moved to: 3100 from: 3050
The High Gamma Strike has moved to: 3100 from: 3050
SPX resistance is: 3100. Support is: 3000 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved has moved UP: $298.00MM from: $243.00MM
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%