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Informe GT Gamma Levels

Nov 24, 2020 | 0 Comentarios

Markets are higher with futures holding 3600. The Call Wall has not shifted from 3600, however gamma levels did increase at this strike overnight. This suggests that 3600 should continue to mark a large pinning/”pivot” area. If you recall market action from last week, the SPX made several attempts to pull away from the 3600 Call Wall but was unsuccessful.

Normally, we would look for resistance at 3600 but given some positive news overnight that may change the structure overhead intraday. There continues to be are a few strikes >3600 to which the Wall could soon shift, and we’ll be watching for data supporting that shift today.

If markets can pull ahead gamma levels should increase, which infers that volatility should come down. This may provide a further tailwind for SPX prices. On a larger time frame 3700 remains the main target overhead.

For today we mark 3600 as the large pivot area, with support at 3575 and resistance at 3625. If the VIX continues to trend lower it would be a strong confirmation of the price move over 3600.

Macro Note:

3500-3700 range into DEC OPEX.

SIGNAL NAME LATEST DATA PREVIOUS SPY NDX QQQ
Ref Price: 3603 3575 360 11945 290
VIX Ref: 22.03 22.66
SG Gamma Index™: 0.76 0.48 0.21 0.00 -0.02
Gamma Notional(MM): $463.00 $291.00 $1,689.00 $1.00 $-128.00
SGI Imp. 1 Day Move: 1.22%, 44.0 pts Range: 3559.0 | 3647.0
SGI Imp. 5 Day Move: 3564 1.96% Range: 3494.0 | 3634.0
Zero Gamma Level(ES Px): 3514 3513 0
Vol Trigger™(ES Px): 3495 3495 356 11700 290
SG Abs. Gamma Strike: 3600 3600 350 10900 290
Put Wall Support: 3300 3300 355 11300 265
Call Wall Strike: 3600 3600 370 12000 300
CP Gam Tilt: 1.37 1.24 1.8 1.06 0.88
Delta Neutral Px: 3350
Net Delta(MM): $12,665.00 $11,538.00 $1,945.00 $373.00 $620.00
25D Risk Reversal -0.08 -0.08 -0.08 -0.07 -0.07
Top Absolute Gamma Strikes:
SPX: [3600, 3550, 3500, 3450]
SPY: [370, 360, 355, 350]
QQQ: [292, 290, 285, 280]
NDX:[12000, 11300, 11000, 10900]
SPX Combo: [3625.0, 3651.0, 3658.0, 3575.0, 3600.0]
NDX Combo: [11896.0, 11591.0, 11661.0]
SPX is above the Volatility Trigger™, resistance is: 3600 Support is: 3600
The total gamma has moved has moved UP: $463.00MM from: $291.00MM
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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