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SpotGamma™

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

Daily Note

SpotGamma Report for: 02/26/2021 PM

Daily Note: The SPX traded flat after testing the critical 3800 level earlier in the morning.  That was a fairly rapid 1.5% drop in SPX which coincided with the VIX high of 31 on the day.  Following that 3800 test the VIX retreated, and markets shifted back up to the large Combo strike area of […]

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SpotGamma Report for: 02/26/2021 AM

Daily Note: Futures are holding 3825 after a putting in a 3800 low and 3850 high. Notional gamma levels in major indicies all hold negative, signaling a volatile day ahead. The SG implied range is 2% today, a figure we have not seen in some time.  Key levels for today are 3800 (large gamma strike), […]

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SpotGamma Report for: 02/25/2021 PM

Daily Note: “Volatility of Volatility” as the SPX enters the air pocket noted in this morning. The S&P checked briefly higher before surging lower to close -2.5%. The Q’s had it much worse, -3.5%. SPX Options volume was high at 1.3mm contracts and a 1.8PC ratio.  The VIX surged 7pts higher (>35%), as we rapidly […]

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SpotGamma Report for: 02/25/2021 AM

Daily Note: Futures initially drifted higher to 3930 overnight, but are now consolidating near 3915. Gamma levels did flip positive in SPX/SPY, but remain negative in NDX/QQQ. If the SPX holds 3900 then we give a bullish edge to markets, with a short term target of 3950 (SPY Call Wall 395).  For today we do […]

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SpotGamma Report for: 02/24/2021 PM

Daily Note: The Fed delivered today and the SPX rolling. The S&P500 cleared right through the large 3900 gamma area to close at 3925 - which is 44pts above the open (matches the SG implied range exactly). SPX options flow was strong at 1.3mm contracts and a bullish 1.3 PC ratio. Its likely we see […]

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SpotGamma Report for: 02/24/2021 AM

Daily Note: Futures are near 3880, off of 3850 overnight lows. We noted several times here that "volatility of volatility" will be a key theme this year and that seems to be manifesting.  The velocity of yesterdays move, particularly at the open seemed remarkable. The SPX covered ~65 handles in ~30 minutes. 3900 holds as […]

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SpotGamma Report for: 02/23/2021 PM

Daily Note: Quite a range in markets today, which used every bit of the 44pt SG estimated range. There was a strong flush to start the day with the 3800 area providing a very sharp bounce. We think that traders took the opportunity to monetize (ie close) puts there which provided an SPX lift.  QQQ […]

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SpotGamma Report for: 02/23/2021 AM

Daily Note: Futures are weaker this morning to 3860, but a bit off of 3840 lows. The critical line to hold is 3850, if we break that then that should lead to a quick test of 3800. Open interest at 3800 is fairly balanced (meaning put OI = call OI) and we think it would […]

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SpotGamma Report for: 02/22/2021 PM

Daily Note: The SPX closes on the lows today, with a bit more mean reversion than anticipated. 3900 did prove to be resistance and mark the days high. The VIX closed on highs (+6%) with SPX volume decent at 1.1mm contracts and a 1.6PC ratio. The pain today was mainly in QQQ which closed on […]

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SpotGamma Report for: 02/22/2021 AM

Daily Note: Futures are down from Friday near the 3875 level. Notional gamma levels are zero for S&P500, and negative for QQQ/NDX and RUT/IWM. This implies high volatility and a larger directional move today.  The Volatility Trigger (our critical risk line) stands at 3865, with appeared to hold as overnight support. 3900 remains as the […]

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