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Informe GT Gamma Levels

Jun 11, 2020 | 0 Comentarios

Futures are down sharply this morning, having started to sell after the cash close and are now around 3135. Our key levels did not shift as much as I expected with ZeroGamma around 3085 little change in the SG Index. Notional gamma levels did reduce but mainly due to the shift in underlying price (as opposed to call/put position changes). The thing that stands out most about yesterdays options volume was ~110k trading at 3200 (60k calls, 50k puts) which appeared to add to the gamma at that strike. While I think we had some signs of topping, our current SPX data doesn’t yet appear to align with a larger expansion of volatility. On the equity front we saw more calls added than puts, and (based on closing prices) the gamma data suggests there was more net bullish activity. So, from our seat the selling doesn’t seem ready to accelerate. Obviously we’ll be watching both VIX and NQ for confirmation as to todays direction. We see 3130 showing as a key Combo level, with 3100 support. Under 3100 would suggest a much larger breakdown of markets. Overhead 3150 is first resistance with 3175-3180 a larger target area.


Market Outlook:
3100 support and 3200 resistance now for June OPEX. Below 3100 there is size at 3000.


Event Time EST Actual Forecast Previous
Core PPI m/m 8:30am -0.1% -0.3%
PPI m/m 0.1% -1.3%
Unemployment Claims 1550K 1877K


Signal Name Latest Data Previous
SPX Ref: 3139 3200
VIX Ref: 29.9 27.07
SG Gamma Index: 0.81 0.72
Gamma Notional: $166.35MM $400.64MM
SGI Imp. 1SD Move: 1.0% 3108.0 | 3170.0
Zero Gamma Level: 3084.0 3081.0
Vol Trig: 3055 3055
High Gamma Strike Resistance: 3200 3300
Top Abs. Gamma Strike: 3200 3200
Put Wall Support: 2800 2800
Call Wall Strike: 3200 3300
CP Gam Tilt: 1.11 1.31
Delta Neutral Px: 2925.0
Net Delta: $16,769.78MM $17,107.69MM
25D Risk Reversal -0.08 -0.08


Model Forecast:
Top Absolute Gamma Strikes: [3300, 3250, 3225, 3200, 3175, 3150, 3100, 3050, 3000, 2900]
The Call Wall has moved to: 3200 from: 3300
The High Gamma Strike has moved to: 3200 from: 3300
SPX resistance is: 3200 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved DOWN: $166.35MM from: $400.00MM
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%