A few days ago we posted the following chart and comment on Twitter about the Silver ETF, SLV: $SLV running and could be gathering momentum. Seems like there are a fair a amount of calls up into 20’s. If those are net long calls that could help keep it running. I do have silver & […]
Market Analysis
Where are the Calls?
One of the things that has left us curious about the recent rally in SPX has been the lack of call positions. These call positions bring positive gamma to markets, which help to support the SPX. Our model suggests that in positive gamma markets options dealers are buying declines, and selling rallies therein “suppressing” volatility. […]
TSLA Options Deltas
We show TSLA having the 1500 as the key options strike going into Friday 7/17. The stock yesterday breached 1750 before pulling back to 1500. Its clear the options flow changed when the stock tagged that 1750 area as you can see in the chart at bottom. Friday will such and interesting date fore the […]
The Power of Combo Strikes™
Our proprietary “Combo Strikes” which blend SPX and SPY interest have been great support/resistance lines for trading SPY, ES or SPX. You can see in our AM note highlighted below we marked 3136 (SPX) which is 3126 (ES) as a resistance level. Below is the quoted range from our AM premarket subscriber report. That level […]
TSLA Convert Bonds Options & Gamma Traps
We think that much of what has pushed TSLA’s massive runup in price has been a “gamma trap“. The idea being that in-the-money long calls and new long call positions force dealers to buy the stock as it goes higher. Our model detects a lot of very deep in the money <=400 strike calls, which […]
FAANG Options Expiration Gamma Pin
Our equity analysis models are in BETA but as we watch the data come in we pick up on a few interesting things. One of those was today when 4 our of the 5 FAANG (AAPL, AMZN, NFLX, GOOGL) names have their highest “gamma expiration” today: 7/10/20. Whats also interesting is that at the time […]
SPX Same Day OPEX
We ran a detailed analysis of the impact of same day options expiration volume vs open interest and the effect this may have on “pinning” the market into the close. Some may also refer to the idea as “options max pain”. You can read it here but we thought it was worth showing the effect […]
Equity Options Gamma Shows Stretch
Our equity options gamma indicators are showing that negative gamma rates in single stocks are growing back to where record levels were a few weeks ago. Back then there was news of “record small trader” positions in call options. You can see there is a similar position below. In the charts below for TSLA, AMZN, […]
SPX Option Delta Tilt™ as an Indicator
We have been studying SPX options deltas and changes in those deltas for some time. Finding a definitive indicator in this data has been a challenge, but there certainly appears to be something here. For this reason we are posting this current chart of our Delta Tilt™ indicator. Notice that large moves down in the […]
SpotGamma Levels at Work
We publish key levels based off of S&P500 options gamma and interest levels before the open. We can push these levels into various trading systems like Bookmap. As you can see in the Bookmap screenshot below the ES futures played off of our trading levels throughout the day. The market opened and immediately tested 3025 […]
