A combination of new regarding the Chinese virus spreading and Iraq being bombed sent futures lower on Monday AM. Oddly the low of the overnight session was 3237, which we calculated to be the zero gamma threshold. Remarkably the same thing occurred a few weeks ago on the eve of the Iranian bombing. Should the […]
Market Analysis
Nomuras Combined Gamma May Be Off
Here are the Nomura gamma charts via ZH. Not their flip point at 3263, id argue this is too high. Nomura combines SPY and SPX and I believe they can have very different profiles. Compare the Nomura gamma chart with our separate SPY and SPX charts. The zero gamma level on our charts is where […]
Hedging Into the Close
@VolCurve brought up a great point today – ” Don’t mistake gamma hedging for strength.” It was an interesting example today of what looks like gamma hedging moving the market into the close. The market was quite weak today, but some force kept bringing us higher towards 3300 into the close. SPX options settle at […]
Explaining OPEX Drift
This is a repost from MacroTourist. Excellent site and co-host of The Market Huddle podcast. This post will be a little more technical, but it’s important, so I urge you to read on. Over the past couple of years there has been an increased interest in dealers’ gamma charts to help explain market movements. […]
Nomura Gamma Update 1/22/20
Heisenberg posted an updated gamma note from Nomura, and we like to note them here versus SpotGamma data. Nomura posts a combined SPX/SPY figure whereas we break the data out. The note and charts sync with much of what we have been saying: That long gamma is still in control. Last week, Charlie noted that […]
Trying to Call Tops
EDIT 1/28/20 : Here is an updated chart tracking this scenario. Jan 2018/Jan 2020 SPX Analogy by SpotGammaModel on TradingView.com Original Post: 1/24/20 With major moves higher over the last several months/weeks/days into January one can’t help but draw comparisons to January of 2018. We wrote an in depth review of Jan ’18 here and […]
Possible Gamma Flip Setup 1/7/2020
We’ve been tracking very high levels of call gamma the last several weeks that has recently stalled as we’ve hit heavy resistance around 3250 (blue arrow in chart below). During the last several days the zero gamma flip point has moved higher to ~3185 as you can see (green arrow): Iran has started launching missiles, […]
Nomura Gamma Report 1/7/20
Here is an updated Nomura gamma snapshot to compare vs ours. Note we both have gamma flip at ~3185 with peak gamma around 3275. He also sees 3250 as a “pin” much as we’ve shown in subscriber reports. Thanks to Heisenberg report. “And the same song remains—SPX Dealer ‘Gamma flip’ level is meaningfully below market”, […]
Stock Market Depth of Book: Liquidity vs Liquidity “Quality”
CME posted an interesting analysis called “Alternative Liquidity Measures” about volumes and depth of book. Their view is that liquidity doesn’t disappear during crisis times. The central argument is something along the lines of: “How can liquidity be worse if volumes skyrocket during market drops?” And that is actually a solid point. Yeah, you can […]
Expiration Is About Deltas
Much talk focuses on options market gamma and changes in gamma around expiration. But what may be the real catalyst around OPEX is a change in deltas, not gammas. When options expiration occurs (especially a large one like December) options are closed, expire or rolled. You therefore can have large positions change, which can cause […]