We provide smart traders and investors with key trading levels in the S&P500 and Nasdaq markets. Through our proprietary models we analyze the options market to forecast stock markets.
Each trading day we measure thousands of options positions to estimate hedging impact. By knowing where major options players may hedge you have key insights into:
- Where the major support and resistance levels are
- How much volatility may be in the market
These levels can be invaluable for futures, stocks and options traders.
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Below are recent samples of our daily forecast. Each vertical line is a key level to watch in the market. The curve estimates how large the hedging flows may be from options dealers.
SPX (S&P 500 Index) Options Market Gamma Model Output
See the FAQ for chart details.
How Does Stock Market Options Gamma Work?
Gamma is an options measurement which estimates the amount of hedging required for a given move in the underlying stock or index. SpotGamma downloads all of the open interest for the S&P500 (SPX, SPY) and uses an algorithm to estimate how much options dealers (market makers, banks, dealers, etc) will have to hedge for a given move in the SPX. More importantly, the gamma market model output helps forecast how the dealers are currently positioned and might react to a given move in the SPX. See here for an example. Having an idea of the size and direction options dealers hedge is a powerful metric to use for your own trading. Here’s why.
- There is more information about our gamma levels and volatility triggers in the FAQ.
- See a backtest of the gamma and volatility levels here.
- Want raw data? Open Interest tables are over here.
Key Options Gamma Levels as ES Futures Volume Nodes
Here you can see how our levels often line up with liquidity pockets in the ES futures. Keep in mind these levels are based off of data that we run overnight, and this liquidity is generally posted after the open.
