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Informe GT Gamma Levels

Feb 25, 2020 | 0 Comentarios

Quite an overnight range in futures (~3260-3225) has us still holding close to the key 3250 area with VIX still near highs. Our overhead resistance areas moved a bit lower to 3275/3285 (around where gamma flips positive). Several interesting notes, we felt (anecdotally) that yesterday didn’t seem like true “fear” in the markets with various pundits suggesting to “buy the dip” and if you look at the OI tool you can see that put OI in SPY (retail) closed a great deal compared to SPX (institutional). The put wall also didnt move from 3250 which indicates to me large players are still hedged. While gamma is negative, it can certainly get more negative and the fuel tanks are still primed and ready for more large movements.


Event Time EST Actual Forecast Previous
CB Consumer Confidence 10:00am 132.6 131.6
Richmond Manufacturing Index 10 20


Signal Name Latest Data Previous
SPX Ref: 3242.75 3251.0
VIX Ref: 23.07 23.38
Gamma Per Point: $-812,690,599.77 $-911,300,437.44
Zero Gamma Level: 3275.0 3283.0
Vol Trig: 3285.0 3310.0
High Gamma Strike Resistance: 3400.0 Size: 1/10 3400.0
Top Abs. Gamma Strike: 3250.0 3250.0
Put Wall Support: 3250.0 Size: 3/10 3250.0
Call Wall Strike: 3400.0 Size: 1/10 3400.0
CP Gam Tilt: 0.74 0.72
Net Delta: $1,861,779,200.00 $2,066,784,911.00


Model Forecast:
Intraday support/resistance levels (during high gamma periods): 3400.0, 3450.0, 3500.0, 3330.0, 3375.0

The Volatility Trigger has moved DOWN: 3285.0 from: 3310.0
SPX is below the volatility trigger. The 3275.0 level is first level of support/resistance and is critical as its the negative gamma threshold.
The trigger level of: 3285.0 will act as overhead resistance.
Watching VIX is key, if volatility comes in dealers will start to buy back shares as their short puts lose value. This could start a rally.
The total gamma has moved has moved UP: $-812,690,599.77 from: $-911,300,437.44
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma is moderate favoring further swings in the market