Daily Note: Negative gamma forecasts major moves, and that manifested in the form of another big rally, with the SPX +1.4%, QQQ + 2.3% and IWM +2.4%. The VIX took an absolute pounding, losing 4 pts (-18%) to 18.81. Keep in mind this was pushing 30 earlier this week. SPX options volume was heavy 1.6mm […]
Daily Note
SpotGamma Report for: 05/14/2021 AM
Daily Note: Futures have pushed higher to 4130 overnight. We mark SPX, SPY, QQQ and IWM all in negative gamma territory. This level of gamma in the SPX equates to a 1.26% est move on the day. Accordingly we mark 4100 as critical support, a large Combo strike at 4136, and 4165 overhead resistance levels. […]
SpotGamma Report for: 05/13/2021 PM
Daily Note: Quite a snap back rally, fueled by short covering off of the back of an intense volatility crush. The S&P closed +1.22%, QQQ +0.77% and IWM +1.84%. SPX options volume was high at 1.2mm contracts, and a (very) put heavy 2.2 PC ratio. This reads like both but covering and new put positions. […]
SpotGamma Report for: 05/13/2021 AM
Daily Note: Futures checked lower to 4010 overnight, but have rebounded to 4060. Markets are set to open under a large negative gamma regime, and as such we are looking for substantial volatility. Our major support level is 4000, with resistance at 4110. We must lend attention to “vanna” today as options are quite sensitive […]
SpotGamma Report for: 05/13/2021 AM
Daily Note: A rough day in markets, with volatility expanding sharply. We’ve felt a bit like "boy who cried wolf" warning of this risk, but it was realized today with the SPX – 2.12%, QQQ -2.59% and IWM -3.25%. The VIX jumped significantly, opening near 22 and closing on the highs at 28.38. Options volume […]
SpotGamma Report for: 05/12/2021 PM
Daily Note: Markets were under consistent pressure today, with volatility expanding sharply. We’ve felt a bit like “boy who cried wolf” warning of this risk, but it was realized today with the SPX – 2.12%, QQQ -2.59% and IWM -3.25%. The VIX jumped significantly, opening near 22 and closing on the highs at 28.38. Options […]
SpotGamma Report for: 05/12/2021 AM
Daily Note: Futures are slightly off from last nights close to 4137. They did test lower overnight, with a low of 4110. It seems as there is some mean reversion to this market, with any push under ~4125 being brought back toward the 4150 strike. If 4100 does fail, then we maintain that this mean […]
SpotGamma Report for: 05/11/2021 AM
Daily Note: Futures moved lower overnight, with the ES at 4150 and NQ 13200. The SPX holds a marginally positive gamma position which implies a one day move of 82bps. 4150 is showing as a major support line, and we look for a test of 4100 should that break. To the upside we mark 4177 […]
SpotGamma Report for: 05/11/2021 AM
Daily Note: A tough close today in markets likely has many traders checking their risk. The SPX initally held the highs from Monday, only to fade quite hard into the close of trading. There are two sources being attributed to the weakness: 1) Commends from Fed Kaplan in regards to tapering, and second some type […]
SpotGamma Report for: 05/10/2021 PM
Daily Note: A tough close today in markets likely has many traders checking their risk. The SPX initially held the highs from Monday, only to fade quite hard into the close of trading. With that the SPX closed at 4188, -1% on the day. The Nasdaq is where the real pain was – closing -2.5%. […]