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Informe SG Levels

Ago 10, 2021 | 0 Comentarios

Futures are exactly flat to 4425. Futures have stuck to a 20 handle range over the last 3 days, and we see little reason for that to change today. The SG implied move is a tight 75 bps, with resistance at 4441 and support at 4414.

Looking at the basic gamma layout in SPY you can see why markets are stuck. There is the large pile of gamma at 440/4400 and a column of positive gamma at 445/4450. Until these positions expire, are closed or rolled then its likely more “nap time” for the S&P500.

We see little change in the total options position until 8/16 for SPY and 8/20 for SPX.

Model Overview:

4500 top, 4400 support into 8/20 OPEX.

SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ
Ref Price: 4400 4427 440 15109 368
SpotGamma Imp. 1 Day Move: 0.75%, 33.0 pts Range: 4367.0 | 4433.0
SpotGamma Imp. 5 Day Move: 1.91% 4417 (Monday Ref Px) Range: 4333.0 | 4501.0
SpotGamma Gamma Index™: 1.70 1.40 0.12 0.05 -0.02
Volatility Trigger™: 4370 4395 439 14740 367
SpotGamma Absolute Gamma Strike: 4400 4400 440 14450 370
Gamma Notional(MM): $113 $481 $-222 $5 $-57
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4398 4392 0 0 0
Put Wall Support: 4100 4100 435 14000 360
Call Wall Strike: 4450 4450 445 14775 375
CP Gam Tilt: 1.52 1.29 0.94 1.46 0.96
Delta Neutral Px: 4216
Net Delta(MM): $1,448,352 $1,432,600 $184,679 $45,415 $81,482
25D Risk Reversal -0.07 -0.07 -0.06 -0.05 -0.05
Top Absolute Gamma Strikes:
SPX: [4450, 4425, 4400, 4350]
SPY: [445, 443, 442, 440]
QQQ: [370, 368, 365, 360]
NDX:[15250, 15000, 14775, 14450]
SPX Combo: [4441.0, 4450.0, 4489.0, 4467.0, 4414.0]
SPY Combo: [443.9, 444.78, 448.76, 446.55, 441.25]
NDX Combo: [15377.0, 15332.0, 15165.0, 15014.0, 15256.0]
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