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Informe GT Gamma Levels

Jun 5, 2020 | 0 Comentarios

Futures tested 3150 overnight before retracing a bit to the 3135 area. There is a bit of a conflicting signal in net gammas: our SG Index shifts lower but standard notional gamma measurement is a bit higher. The Tilt indicator had quite a retrace from the large jump on Wednesday. This divergence between the SG Index and “notional gamma” is likely due to the distribution of gamma across nearby strikes. We saw calls closed under 3100 and and a decent amount of puts added to 3100. The High Gamma Strike does shift to 3150 and is our current resistance level, 3100 is support. We do see a bit move volatility forecasted than yesterday but still do not see the stage set for a larger selloff. Apparently we saw the highest volume ever in the Nasdaq, which is a curious given ES futures and SPX options volume as low to average. Its amazing really to think that if the market repeats its ~+9% performance from May OPEX (5/15) to now we will have virtually retraced the entire selloff.


Market Outlook:
Support at 3100 into June, with a break in bull trend and higher volatility not anticipated unless we break 3050. 3150 is current resistance. Higher gamma levels suggest the market is fairly well supported.


Event Time EST Actual Forecast Previous
Average Hourly Earnings m/m 1.0% 4.7%
Non-Farm Employment Change -7750K -20537K
Unemployment Rate 19.4% 14.7%


Signal Name Latest Data Previous
SPX Ref: 3133 3100
VIX Ref: 24.98 25.93
SG Gamma Index: 0.45 1.10
Gamma Notional: $484.27MM $353.26MM
SGI Imp. 1SD Move: 1.2% 3097 | 3172
Zero Gamma Level: 3017.0 2986.0
Vol Trig: 3045 2995
High Gamma Strike Resistance: 3150 3130
Top Abs. Gamma Strike: 3000 3000
Put Wall Support: 2800 2800
Call Wall Strike: 3150 3130
CP Gam Tilt: 1.37 1.26
Delta Neutral Px: 2890.0
Net Delta: $15,897.44MM $15,719.40MM
25D Risk Reversal -0.08 -0.08


Model Forecast:
Top Absolute Gamma Strikes: [3200, 3150, 3125, 3100, 3080, 3050, 3000, 2950, 2900, 2800]
The Volatility Trigger has moved UP: 3045 from: 2995
The Call Wall has moved to: 3150 from: 3130
The High Gamma Strike has moved to: 3150 from: 3130
SPX resistance is: 3150. Support is: 3000 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved has moved UP: $484.00MM from: $353.00MM
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%