SpotGamma™

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

Daily Note

SpotGamma Report for: 12/03/2020 PM

Daily Note: The market seemed poised to break towards 3700 when vaccine news hit and derailed the rally. It was a sharp drop from 3680 into 3660 before we caught a small bounce to close essentially unchanged. Through our lens we would credit the bounce to high gamma and the mean reverting action that tends […]

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SpotGamma Report for: 12/03/2020 AM

Daily Note: Futures are at 3667 after holding a fairly tight range overnight. Accordingly, there was little change in SG levels with 3650-3700 remaining as the short term range. 12/18 remains a very large expiration not only for SPX but for the majority of single stocks, too. This is of note as we typically see […]

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SpotGamma Report for: 12/02/2020 PM

Daily Note: SPX gave an inital AM test of they key 3650 support area before closing marginally higher. Curiously the VIX closed at the highs of the day, with SPX volume average at 900k contracts. Our models look for lower VIX prices as a catalyst for higher SPX prices, so these "higher VIX, higher SPX" […]

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SpotGamma Report for: 12/02/2020 AM

Daily Note: Futures were quiet overnight and are holding 3650. That support zone we have been watching at 3600 has started to shift to 3650, which indicates that 3650 now needs to hold to cap a larger expansion in volatility.  That being said the data does not support a large drawdown immediately from these price […]

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SpotGamma Report for: 12/01/2020 PM

Daily Note: It was an interesting trading day today as the market seemed poised to break higher, but stalled back into the large 3664 combo strike. This fits in well with our AM note which remarked that these large positive gamma markets have a mean reverting tendency that is the context of higher prices. Many […]

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SpotGamma Report for: 12/01/2020 AM

Daily Note: Futures pushed higher overnight and are near overnight highs at 3660. With the move higher we see gamma levels in the S&P build to over $2bn notional (SPX+SPY) which typically indicates mean reverting market action in the context of upward - trending prices. It also often leads to a reduction in volatility. With […]

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SpotGamma Report for: 12/01/2020 AM

Daily Note: Strong mean revertive moves today in the SPX which closed down slightly on the day. The VIX finished back on those post-Covid lows, with SPX options volume decent at 1.1mm contracts. The VIX breaking 20 may be the precursor to this market making a run at 3700. We also mentioned wanting to see […]

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SpotGamma Report for: 11/30/2020 PM

Daily Note: Strong mean reverting moves today in the SPX which closed down slightly on the day despite a test of 3600. The VIX finished back on those post-Covid lows, with SPX options volume decent at 1.1mm contracts. The VIX breaking 20 may be the precursor to this market making a run at 3700. We […]

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SpotGamma Report for: 11/30/2020 AM

Daily Note: Futures are around 3625 with quite a range in futures overnight. The session opened at 3650, then trended immediately lower over the next several hours to 3602. With this we note that the VIX (which was near post-Covid lows on Friday) has shifted up 1.5pts (~7%) to 22.30. The gamma flip area continues […]

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SpotGamma Report for: 11/27/2020 PM

Daily Note: Little movement today in major indicies with light volume on this short session. The main chart that caught our eye today was the VIX, which is threatening to break post-covid lows. This is an interesting inflection as we enter December which is historically the strongest month for SPX. We continue to maintain a […]

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