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Informe Spot Gamma

Abr 15, 2021 | 0 Comentarios

Futures are right back to 4135 after yet another quiet overnight session. There was a lot of OI added to the 4125 line which functions to lock down current price levels into tomorrow AM’s SPX expiration. At the 4125 open interest line, 27k calls and 25k puts were added yesterday. This “filled in” that box we’ve been highlighting for the past few days.

Macro Note:

4150 – 4100 range into 4/16 OPEX. We look for tight trading ranges and a pinning of the large 4150 or 4100 gamma lines.

Signal Name Latest Data Previous SPY NDX QQQ
Ref Price: 4128 4122 411 13830 336
VIX Ref: 16.99 16.99
SG Gamma Index™: 1.03 1.51 0.14 -0.00 -0.00
Gamma Notional(MM): $408 $392 $720 $1 $-26
SGI Imp. 1 Day Move: 0.63%, 26.0 pts Range: 4102.0 | 4154.0
SGI Imp. 5 Day Move: 4106 1.38% Range: 4050.0 | 4163.0
Zero Gamma Level(ES Px): 4056 4051 0
Vol Trigger™(ES Px): 3995 3965 408 13890 336
SG Abs. Gamma Strike: 4100 4100 410 12850 330
Put Wall Support: 4080 4080 408 13500 290
Call Wall Strike: 4150 4150 415 14000 340
CP Gam Tilt: 1.37 1.28 1.23 1.06 0.98
Delta Neutral Px: 3897
Net Delta(MM): $1,328,588 $1,321,050 $192,058 $43,909 $79,175
25D Risk Reversal -0.05 -0.05 -0.04 -0.05 -0.05
Top Absolute Gamma Strikes:
SPX: [4150, 4125, 4100, 4000]
SPY: [415, 410, 409, 400]
QQQ: [340, 337, 335, 330]
NDX:[13900, 13800, 13500, 12850]
SPX Combo: [4154.0, 4204.0, 4105.0, 4179.0, 4167.0]
NDX Combo: [13986.0, 14194.0, 14041.0]
The Volatility Trigger has moved UP: 3995 from: 3965
SPX resistance is: 4150. Support is: 4100 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved has moved UP: $408MM from: $391.00MM
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%

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2021-04-15_CBOE_gammagraph_AMNDX.png
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