The following is a guest post from Doug Pless. As I have discussed in previous articles, I begin my morning preparation by reading the SpotGamma AM Report when I plan to trade futures. For ES futures, I note gamma levels and key metrics for SPX and SPY. For NQ futures, I note Gamma Notional, and […]
Market Analysis
Negative Gamma & Volatility
September has a few spurts of volatility, particularly around 9/20/21 September options expiration, and the 9/22 FOMC. One of the primary metrics we produce for traders is our “volatility trigger”, which defines where we believe options dealers position flips from a positive gamma position, to a negative gamma position. We’ve plotted out this level in […]
SpotGamma Report for: 10/01/2021 AM
Daily Note: Large swings in futures overnight. Overnight lows were 4260 before ripping higher to 4315. As such we’ve rerun our models to reflect current ES levels. Regardless, as gamma is quite negative until SPX >4375 then there will be no stability in price. Key support is at 4302 with resistance at 4375, and 4400. […]
SpotGamma Report for: 09/30/2021 AM
Daily Note: More choppy action in futures overnight which hit overnight highs of 4389 (~4400 SPX equivalent) before dropping back to last nights close of 4365. Due to it being the quarter end OPEX, we expect volatile action similar to yesterday. 4400 is major resistance, with 4361 support. There is a decent chunk of index/etf […]
JP Morgan Collar Trade
Below we have posted some recent updates regarding the JPMorgan Hedged Equity Fund (JHEQX) roll. Scroll down further to read & watch about the mechanics of the collar trade itself. UPDATE: 3/30/23 The current JPM position: These positions will expire tomorrow, and roll to a new position for June expiration. On expiration, the JPM fund […]
Trade Analysis – NQ Futures – 24 September 2021
The following is a guest post from Doug Pless. As I have discussed in previous articles, I begin my morning preparation by reading the SpotGamma AM Report when I plan to trade futures. For ES futures, I note gamma levels and key metrics for SPX and SPY. For NQ futures, I note Gamma Notional, and […]
A Volatility Crush Is Masking An Unhealthy Stock Market
The following is a guest post courtesy of Michael Kramer of Mott Capital Management. The S&P 500 finished the week ending September 24 up a mere 50 basis points, a tranquil week – on the surface. Volatility was fierce to start the week, a dynamic predicted by SpotGamma and shared with their subscribers last week. […]
Trade Analysis: ES Futures (13 September 2021)
The following is a guest post from Doug Pless. As I have discussed in previous articles, I begin my morning preparation by reading the SpotGamma AM Report when I plan to trade futures. For ES futures, I note gamma levels, the SpotGamma Imp. 1 Day Move, the SpotGamma Gamma Index, and Gamma Notional for SPX […]
SpotGamma Report for: 09/20/2021 AM
Get a FREE 5 Day Trial of SpotGamma! Click here. Daily Note: Futures are down sharply to 4370, and both gamma and vanna are setup to push volatility today. As we start with a sharply negative gamma position, the SG Implied S&P500 max move for today is a large 2%. This negative gamma position doesn’t […]
Stocks With Large Options Positions Expiring on 9/17/21
Friday, September 17th is a large Triple Witching expiration which means that many stocks/ETFs/Indicies have large options positions that will be closed at 4pm EST on Friday. At SpotGamma we believe that when large options positions expire it can spark volatility in stocks. Our models estimate over 50% of single stocks have their largest options […]