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 of this writing AAPL, NFLX, GOOGL and FB were all trading at or just above their “Key Gamma Strike”. This is the strike we calculate has the most options gamma associated with it.
We think this suggests a “Pin” day for FAANGS and maybe flat performance. At the time of this writing (11AM EST) FAANG stocks were up 20bps on the day. This situation anecdotally seems unique due to the gamma concentration on a weekly expiration. Before seeing the data I would have expected larger concentration at the the larger Monthly expiration next Friday (7/17).
Each FAANG chart is below with the stock reference price (black line) and key gamma strikes (purple). If our idea holds true we may see “pin” action at the following levels:
- FB (today is NOT the largest gamma expiration day): 240
- All others have largest gamma expiration today:
- AAPL: 380
- AMZN: 3200
- NFLX: 500
- GOOGL: 1500
We will update this post after todays close with results.