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.
February 2020 Crash
Our gamma models alerted subscribers to the possible market crash on 2/21, when the market about to cross the zero gamma threshold.
Options Market Gamma Model Output:
5/15/20 gamma: -$80 million. 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
SPY Options Market Gamma Model Output
New Feature: Volume and Open Interest Change Charts
We recently launched a new subscriber tool that enables you to see the daily change in open interest and volume in the SPX and SPY. Using this you can see if and when large positions are being added, closed or rolled. This may give you insight into not only what happened the previous day, but also what price ranges the market may be setting. See more here.
How Does 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.
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