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Informe GT Gamma Levels

Jun 3, 2020 | 0 Comentarios

Futures are set to test the High Gamma Strike of 3100 this morning as the run-up continues. We saw notional gamma levels increase overnight and the 3100 level grow in size. It seems like there was more activity far out of the money yesterday in SPY & SPX with calls being opened >330/3300. We can’t be sure which side these calls are on (long/short), however we haven’t noticed this type of activity in a while. Its interesting that it is decent size and occurs after a large move in markets – so I am reading this as call sales. We also saw the largest volume strike at 3050 yesterday wherein about 35k each of calls and puts traded, but only a 5k net OI change for calls and a 15k net OI change for puts. So, positions underneath the SPX price still appear as being closed/rolled which places a bit more emphasis on 3100 needing to “hold” for the bulls. Put positions overall do look a bit light until the 3000 strike, and as we continue to rise it appears there is a lack of “structure” underneath as calls are consistently closed when the market moves up. We do have a fair amount of positive gamma which should provide some support for markets, however the first strike that appears as support for us is 3050. To the upside we obviously watch 3100 as resistance, with our SPX/SPY combo showing resistance at 3125 if we break out.


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
ADP Non-Farm Employment Change 8:15am -9000K -20236K
ISM Non-Manufacturing PMI 44.2 41.8


Signal Name Latest Data Previous
SPX Ref: 3094 3073
VIX Ref: 26.72 26.82
SG Gamma Index: 0.41 0.30
Gamma Notional: $445.79MM $300.95MM
SGI Imp. 1SD Move: 1.05% 3061 | 3126
Zero Gamma Level: 3010.0 2989.0
Vol Trig: 2995 3055
High Gamma Strike Resistance: 3100 3100
Top Abs. Gamma Strike: 3000 3000
Put Wall Support: 2800 2800
Call Wall Strike: 3100 3100
CP Gam Tilt: 1.34 1.23
Delta Neutral Px: 2884.0
Net Delta: $15,234.67MM $14,986.18MM
25D Risk Reversal -0.09 -0.1


Model Forecast:
Top Absolute Gamma Strikes: [3200, 3150, 3100, 3050, 3025, 3000, 2950, 2900, 2850, 2800]
The Volatility Trigger has moved DOWN: 2995 from: 3055
SPX resistance is: 3100. Support is: 3000 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved has moved UP: $445.00MM from: $300.00MM
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%