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Informe GT Gamma Levels

Jun 23, 2020 | 0 Comentarios

Bizarre overnight movement in futures. Shortly after the cash close we touched 3125 and then around 11PM EST the market dropped 60 handles on Navarro trade comments. He then immedetialy walks those comments back, and markets immediately rebounded all in the course of an hour. Markets are now at session highs (ES) and I beleive all time highs for NQ. Notional gamma levels are essentially zero leaving the market to have little resistance to an upside move as evidenced this morning. We are showing some resistance at 3150 and larger area at 3186 (combo strike). We now shift to 3100 as key support and the gamma flip level. For this bull run to continue we really like to see call positions build up at strikes overhead, with 3200 being the one to watch as it has some July interest forming.

We apologize for how late this note is as we hit issues with the Nasdaq implementation. As a result we will send out another note shortly with that data.


Market Outlook:
3100 support for July with 3250 the overhead target.


Event Time EST Actual Forecast Previous
Flash Manufacturing PMI 9:45am 50.0 39.8


Signal Name Latest Data Previous
SPX Ref: 3137 3107
VIX Ref: 30.76 32.18
SG Gamma Index: -0.03 0.23
Gamma Notional: $143.00MM $0.00MM
SGI Imp. 1SD Move: 0.6% 3118.0 | 3156.0
Zero Gamma Level(ES Px): 3082.0 3083.0
Vol Trig(ES Px): 3115 3095
High Gamma Strike Resistance: 3200 3125
Top Abs. Gamma Strike: 3100 3100
Put Wall Support: 3100 3000
Call Wall Strike: 3200 3125
CP Gam Tilt: 1.14 1.0
Delta Neutral Px: 3013.0
Net Delta: $10,850.00MM $10,773.00MM
25D Risk Reversal -0.12 -0.12


Model Forecast:
Top Absolute Gamma Strikes: [3300, 3250, 3200, 3150, 3125, 3100, 3050, 3000, 2900, 2800]
The Volatility Trigger has moved UP: 3115 from: 3095
The PutWall has moved to: 3100 from: 3000
The Call Wall has moved to: 3200 from: 3125
The High Gamma Strike has moved to: 3200 from: 3125
SPX resistance is: 3200. Support is: 3100 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved has moved UP: $143.00MM from: $0.00MM
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%