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Informe GT Gamma Levels

Jun 18, 2020 | 0 Comentarios

Markets remain fairly flat overnight with futures around 3100. Gamma notionals are fairly unchanged with levels consolidating at 3100. The most notable move is a shift up in the Vol Trigger to 3110(ES), while our Zero Gamma level remains near 3050(ES). On occassion we see large jumps up in this metric, but they often don’t “stick” as the model is picking up some type of shorter term flow. Its interesting futures made a few attempts to push through this level overnight but were unsuccessful. It also looks like a good setup for a larger move lower if SPX pushes under 3100. To the upside we see what looks like a zone of resistance from 3118 to 3150 (no single level stands out).

One of the more important aspects of this expiraiton has to do with “deflation”. We often talk about the fact that call positions were never rebuilt after the Feb crash and to me this is a sharp juxtaposition to the record equity call positions. As you can see in the chart below, call gammas never really recovered (reinflated) despite this run higher over the last 2 months. The second piece of this is the small positions currently posted in any expiration past June. As you can see here there just isnt much open interest. This suggests that call gamma readings arent due for a recharge any time soon and large positive gamma readings (ex: >2 on the SG Index) aren’t likely. Recall our general SPX model is that call interest brings positive gamma which is a mechanism for volatility supression. If I had to forecast the results of this is I’d say that maybe VIX 20 is the new VIX 10 from years past. Its worth mentioning that one shouldnt assign a direction to volatility – it simply implies lots of movement. I’m not sure that this idea is tough to find agreeable given the health concernts and politcal atmosphere today and elections in November. I also can’t help but smile at this thought given the Fed recently (when asked about a stock speculation) said something along the lines of “our primary concern is asset price stability”.


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
Philly Fed Manufacturing Index -23.0 -43.1
Unemployment Claims 1300K 1542K
CB Leading Index m/m 10:00am 2.4% -4.4%


Signal Name Latest Data Previous
SPX Ref: 3102 3104
VIX Ref: 34.28 33.74
SG Gamma Index: 0.05 0.21
Gamma Notional: $100.80MM $112.85MM
SGI Imp. 1SD Move: .04% 3088.0 | 3112.0
Zero Gamma Level: 3047.0 3050.0
Vol Trig: 3110 3055
High Gamma Strike Resistance: 3200 3300
Top Abs. Gamma Strike: 3100 3100
Put Wall Support: 3100 2800
Call Wall Strike: 3300 3300
CP Gam Tilt: 1.06 1.07
Delta Neutral Px: 2920.0
Net Delta: $16,993.74MM $16,965.43MM
25D Risk Reversal -0.12 -0.12


Model Forecast:
Top Absolute Gamma Strikes: [3200, 3150, 3125, 3100, 3080, 3050, 3000, 2950, 2900, 2800]
The Volatility Trigger has moved UP: 3110 from: 3055
The PutWall has moved to: 3100 from: 2800
The High Gamma Strike has moved to: 3200 from: 3300
SPX is below the volatility trigger. The 3047.0 level is first level of resistance and is critical as its the negative gamma threshold.
The trigger level of: 3110 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 DOWN: $100.80MM from: $112.00MM
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%