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Informe SG Levels

May 26, 2021 | 0 Comentarios

Futures are at 4198 following a very quiet overnight session. For today we look for another low volatility session, with resistance in the 4215 area and support at 4175. 4160 is the gamma flip line and considered critical support. The Call Wall rolled down from 4250 to 4210 which is generally considered a bearish signal. However, because we have a fair amount of positive gamma our net read here is a “stalled” market for today, much like yesterday.

Below is a gamma snapshot of SPY which highlights a very large amount of gamma tied to the 420 level. SPX has a similar chart – the takeaway here is that 420/4200 area has a big pull and it will likely take some options rolling or decay for markets to pull away.

Absolute Gamma SPY

The Combo Strike charts are shown here in which you can see the thick band of resistance from 4211-4230 which is why we suggested it as a high gamma resistance “area” as per resistance “strike”.

We are still watching the “void” that has formed below 4175. It would take a break of 4160, but as you can see in the EquityHub view of SPX, gamma changes quite sharply down to 4055. We interpret this sharp gamma change as “volatility fuels” and therefore anticipate a fast move to 4055 if 4160 breaks.

SPX volatility change

Model Overview:

New June OPEX range starts forming next week. We look for high volatility into June 1.

SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ
Ref Price: 4194 4185 418 13686 332
SpotGamma Imp. 1 Day Move: 0.67%, 28.0 pts Range: 4166.0 | 4222.0
SpotGamma Imp. 5 Day Move: 4164 2.28% Range: 4070.0 | 4260.0
SpotGamma Gamma Index™: 1.06 0.88 0.04 0.00 -0.02
Volatility Trigger™: 4165 4110 418 13475 331
SpotGamma Absolute Gamma Strike: 4200 4200 420 12850 330
Gamma Notional(MM): $366 $142 $132 $1 $-116
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4156 4147 0 0 0
Put Wall Support: 4000 4000 410 12500 320
Call Wall Strike: 4210 4250 420 13500 335
CP Gam Tilt: 1.3 1.09 1.04 1.09 0.92
Delta Neutral Px: 4019
Net Delta(MM): $1,416,357 $1,393,455 $194,175 $39,625 $77,351
25D Risk Reversal -0.07 -0.07 -0.08 -0.06 -0.07
Top Absolute Gamma Strikes:
SPX: [4200, 4175, 4150, 4000]
SPY: [420, 419, 418, 415]
QQQ: [340, 335, 330, 325]
NDX:[14000, 13500, 13000, 12850]
SPX Combo: [4220.0, 4216.0, 4262.0, 4211.0, 4237.0]
NDX Combo: [13787.0, 13993.0, 13541.0, 13376.0, 13499.0]
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