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Informe GT Gamma Levels

Jun 12, 2020 | 0 Comentarios

Markets are staging a rally this morning with futures around 3050. 3000 now comes up as the major support level and largest gamma area. Surprisingly there wasnt much movement in the zero gamma/vol trigger strikes, with ~3065 showing as the flip zone. Probably the most interesting metric out of yesterdays move was this Delta Tilt chart. Through numerous backtests I couldn’t pull a reliable indicator from this, but these sharp changes can presage large moves. This suggests to me that negative deltas picked up in force and this *could* infer dealers have more selling to do.
To this point we had originally been marking next week and OPEX as a turning point due to the removal of record levels of equity calls, but now those positions have been demolished. This may have capped some of the “ex-SPX” negative gamma that was in markets. A big part of what I believe led to March volatility was March puts that were pushed deep in the money following the sharp end of February decline. Because of this move lower we could see some reshuffling of the deck ahead of the June OPEX and that may therefore reduce some of the volatility “potential”. We will be watching this data closely into next week.
For today 3000 is key support, and we note the put wall just below at 2980. If this area goes in the money it suggests a large amount of put hedging from dealers and a potential larger spike in volatility. 3100 shows as resistance for a move higher. Watching VIX may be key today, if it trends lower that suggest puts are being closed and that may fuel a move higher as dealers buy back hedges. Obviously higher VIX suggests increased dealer shorting. Keep in mind that because we may open in negative gamma territory “support” levels are a bit more tenuous.


Market Outlook:
June support now sits at 3000, with resistance 3100 and then 3200 based on open interest levels.


Event Time EST Actual Forecast Previous
Prelim UoM Consumer Sentiment 10:00am 75.0 72.3


Signal Name Latest Data Previous
SPX Ref: 3058 3002
VIX Ref: 37.4 41.2
SG Gamma Index: -0.38 0.74
Gamma Notional: $-109.07MM $-275.94MM
SGI Imp. 1SD Move: 1.5% 3012.0 | 3104.0
Zero Gamma Level: 3065.0 3071.0
Vol Trig: 3055 3055
High Gamma Strike Resistance: 3300 3200
Top Abs. Gamma Strike: 3000 3200
Put Wall Support: 2950 2800
Call Wall Strike: 3300 3200
CP Gam Tilt: 0.94 0.85
Delta Neutral Px: 2908.0
Net Delta: $16,898.61MM $16,039.27MM
25D Risk Reversal -0.15 -0.08


Model Forecast:
Top Absolute Gamma Strikes: [3200, 3150, 3100, 3080, 3050, 3000, 2950, 2900, 2850, 2800]
The PutWall has moved to: 2950 from: 2800
The Call Wall has moved to: 3300 from: 3200
The High Gamma Strike has moved to: 3300 from: 3200
SPX resistance is: 3300. Support is: 3000 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved has moved UP: $-110.00MM from: $-276.00MM
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma is moderate favoring further swings in the market