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S&P 500 Stock Market Gamma Trading Levels Based on Options Open Interest

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SpotGamma Report for: 04/16/2021 PM

Apr 16 2021

SpotGamma Report for: 04/16/2021 PM

Daily Note: A fair amount of OPEX “maneuvering” in markets today, with the SPX closing at 4185 (+23bps) but off of the 3:50PM EST highs of 4191. The NDX added 10bps, RUT +25bps and the VIX dropped another 2% to 16.25. We often warn short term traders to be careful around the open on large […]

Written by Spot Gamma · Categorized: Daily Note

Apr 16 2021

$544 Billion In Options Expire Today: Here’s What Will Move

$544 Billion In Options Expire Today: Here’s What Will Move From ZeroHedge While it’s not quad (or even triple) witching day, today’s a whole lot of weekly options will expire, may of which will be worthless, and others will be providing a supporting “pin” to underlying prices. It’s why, even though we are enjoying a […]

Written by developer · Categorized: Market Analysis

Apr 16 2021

Remember The Gamma Squeeze

The SWAP Unwind? Before presenting our “squeeze material” we wanted to discuss a theory of what may be driving the recent ramp in markets. On March 25th it was revealed that a large fund, Archegos, had blown up. They traded on swap which essentially meant that Archegos’ brokers held their shares on Archegos’ behalf. So, […]

Written by developer · Categorized: Market Analysis

Apr 16 2021

Dark Pool Example – Altria (MO)

We are excited to share how the SpotGamma Dark Pool Indicator is providing insights relative to off-market stock purchases. We have analyzed many stocks and chose to share an example of a stock with fairly average returns over the past year: There appears to be a clear takeaway that, historically, stocks tend to outperform following […]

Written by Spot Gamma · Categorized: Dark Pool, Market Analysis · Tagged: dark pool, mo

Apr 16 2021

SpotGamma Report for: 04/16/2021 AM

Daily Note: Futures have shifted up a bit to 4165 as we enter todays large OPEX. We estimate just over 25% of SPX gamma is set to expire at the open, with SPX & single stock options expiring on the close. We do not anticipate much volatility today, with 415 being the largest gamma strike […]

Written by Spot Gamma · Categorized: Daily Note

Apr 16 2021

SpotGamma Report for: 04/16/2021 AM

Daily Note: NOTE TO FOLLOW PREOPEN Model Overview:4150 – 4100 range into 4/16 OPEX. We look for tight trading ranges and a pinning of the large 4150 or 4100 gamma lines. Signal Name Latest Data Previous SPY NDX QQQ Ref Price: 4157 4161 415 13976 341 VIX Ref: 16.57 16.57 SG Gamma Index™: -0.06 1.05 […]

Written by Spot Gamma · Categorized: Advanced Note

Apr 15 2021

SpotGamma Report for: 04/15/2021 PM

Daily Note: Markets push higher, on through the Call Wall and SG implied range. The SPX closed +1.1%, NDX +1.3% and RUT +0.42%. SPX options volume was quite high for a non-expiration day at 1.2mm contracts. The VIX dropped -0.4 or -2.5%. We do not see the center of gamma-gravity rolling higher into tomorrows close, […]

Written by Spot Gamma · Categorized: Daily Note

Apr 15 2021

SpotGamma Report for: 04/15/2021 AM

Daily Note: Futures are right back to 4135 after yet another quiet overnight session. We look for another tight trading range today, with a max move of 26pts. 4154 shows as the major resistance line, with 4125 support. There was a lot of OI added to the 4125 line which functions to lock down current […]

Written by Spot Gamma · Categorized: Daily Note

Apr 15 2021

SpotGamma Report for: 04/15/2021 AM

Daily Note: NOTE TO FOLLOW PREOPEN Macro Note:4150 – 4100 range into 4/16 OPEX. We look for tight trading ranges and a pinning of the large 4150 or 4100 gamma lines. Signal Name Latest Data Previous SPY NDX QQQ Ref Price: 4128 4122 411 13830 336 VIX Ref: 16.99 16.99 SG Gamma Index™: 1.03 1.51 […]

Written by Spot Gamma · Categorized: Advanced Note

Apr 14 2021

SpotGamma Report for: 04/14/2021 PM

Daily Note: The S&P pulled back some today to close -50bps at 4120. This is after rejecting the large 4150 call wall, but still closing within the SG implied range off 65bps. NDX closed -100 bps, and RUT +84bps. SPX options volume was high at 1.3mm contracts, and the VIX was up slightly to 16.99. […]

Written by Spot Gamma · Categorized: Daily Note

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