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Spot Gamma

S&P 500 Stock Market Gamma Trading Levels Based on Options Open Interest

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Stock Market Options Gamma Modeling

Our options models are based on the open interest in the S&P500. Using this data we estimate the price impact of market makers and dealers on the SPX and SPY. We believe this data can be used as a valuable overlay for just about any trading strategy as it helps to anticipate the movement of the worlds largest stock index.


Options Market Gamma Model Output:

2/4/20 gamma: $1.5billion. Significant levels are indicated in the charts below.

Current data and analysis is available only to subscribers: Click for a 1 week free trial.

SPX (S&P 500 Index) Options Market Gamma Model Output

S&P500 SPX stock market gamma chart

See the FAQ for chart details.

SPY Options Market Gamma Model Output

SPY stock market gamma chart

How Does Market Options Gamma Work?

gamma plot density SPX
One Day % move in S&P500

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.

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