fbpx

SpotGamma™

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

SpotGamma Report for: 01/16/2021 PM

SpotGamma Report for: 01/16/2021 PM

Daily Note: The ES broke shortly after the open to drive lower and bounce off of 3750, then spent most of the afternoon around 3775. This 3775 strike came up in the AM combo charts as a large negative gamma strikes. The SPX closed at 3768 which is below the critical risk level of 3775 […]

###

Please login to access this content.

If you're a member and you're already logged in, it's possible the content you're looking at is part of a different subscription, which you can upgrade to in your Account Page by clicking on the Subscriptions tab. Thanks for being a member!

If you are a guest and do not have a SpotGamma membership yet, we invite you to trial our services for free by signing up on the Subscription page. Welcome!

SpotGamma Report for: 01/15/2021 AM

Daily Note: Markets were weak overnight, putting in a 3765 low before catching a small bid back up to 3775. This places markets in a weak position, going into a post OPEX timeframe that is historically associated with volatility. There was again very large trading at the 3800 strike yesterday which should add to its […]

###

Please login to access this content.

If you're a member and you're already logged in, it's possible the content you're looking at is part of a different subscription, which you can upgrade to in your Account Page by clicking on the Subscriptions tab. Thanks for being a member!

If you are a guest and do not have a SpotGamma membership yet, we invite you to trial our services for free by signing up on the Subscription page. Welcome!

SpotGamma Report for: 01/15/2021 AM

Daily Note: NOTE TO FOLLOW PREOPEN Macro Note:3750-3800 Jan Exp Range. Signal Name Latest Data Previous SPY NDX QQQ Ref Price: 3771 3793 376 12844 314 VIX Ref: 23.25 23.25 SG Gamma Index™: 0.12 0.81 0.14 0.00 -0.05 Gamma Notional(MM): $-169 $161 $199 $0 $-368 SGI Imp. 1 Day Move: 1.45%, 55.0 pts Range: 3716.0 […]

###

Please login to access this content.

If you're a member and you're already logged in, it's possible the content you're looking at is part of a different subscription, which you can upgrade to in your Account Page by clicking on the Subscriptions tab. Thanks for being a member!

If you are a guest and do not have a SpotGamma membership yet, we invite you to trial our services for free by signing up on the Subscription page. Welcome!

SpotGamma Report for: 01/14/2021 PM

Daily Note: Markets made an early rise into the higher gamma band of 3815-3825 then turned weaker to close at 3795. The path of least resistance is again in the direction of 3800. SPX options volume was strong at 1.2mm contracts and a 1.6PC ratio. Tomorrow finally brings OPEX and hopefully leads to some changes […]

###

Please login to access this content.

If you're a member and you're already logged in, it's possible the content you're looking at is part of a different subscription, which you can upgrade to in your Account Page by clicking on the Subscriptions tab. Thanks for being a member!

If you are a guest and do not have a SpotGamma membership yet, we invite you to trial our services for free by signing up on the Subscription page. Welcome!

TEVA $12 Pin & Release?

TEVA is up about 10% the last several days, with a lot of gamma concentrated at the $12 strike. Most of this (~60%) expires Friday, 1/15. We therefore have compression under the key level of $12 as out of the money calls decay and keep a lid on TEVA prices into 1/15 expiration.

Our EquityHub data highlights $12 as this key strike because there are both a lot of gamma located there (“Key Gamma Strike”) and our Hedge Wall. The Hedge Wall is where our model detects a significant shift in dealer hedging flows, which is why its implied to be a support or resistance level.

SpotGamma Report for: 01/14/2021 AM

Daily Note: Futures are up slightly to 3807 after a quiet overnight session. Key levels remain the same: 3800 the large OPEX magnet, critical support at 3750. The SPX Call Wall holds 3850, with SPY 380. For this reason we are looking at the large Combo Strike levels for a range top: 3815 & 3827. […]

###

Please login to access this content.

If you're a member and you're already logged in, it's possible the content you're looking at is part of a different subscription, which you can upgrade to in your Account Page by clicking on the Subscriptions tab. Thanks for being a member!

If you are a guest and do not have a SpotGamma membership yet, we invite you to trial our services for free by signing up on the Subscription page. Welcome!

SpotGamma Report for: 01/14/2021 AM

Daily Note: NOTE TO FOLLOW PREOPEN Macro Note:3750-3800 Jan Exp Range. Signal Name Latest Data Previous SPY NDX QQQ Ref Price: 3813 3805 381 12967 316 VIX Ref: 22.21 22.21 SG Gamma Index™: 0.82 0.78 0.12 0.03 -0.03 Gamma Notional(MM): $327 $272 $987 $4 $-197 SGI Imp. 1 Day Move: 0.91%, 35.0 pts Range: 3778.0 […]

###

Please login to access this content.

If you're a member and you're already logged in, it's possible the content you're looking at is part of a different subscription, which you can upgrade to in your Account Page by clicking on the Subscriptions tab. Thanks for being a member!

If you are a guest and do not have a SpotGamma membership yet, we invite you to trial our services for free by signing up on the Subscription page. Welcome!

GME Ran Out of Options Strikes

GME stock closed at 31.58 today, +57%. This was a bit off its high of $38.38, or 90%. This stock traded 589k calls today, >375k of which expires in 2 days. Amazingly the stock “ran out” of call strikes, with the highest strikes being $40. Traders used that 1/15 expiration, $40 strike call to trade 93k calls.

This site claims to have an algo for reading Reddit WallStreetBets comments, and it implies a voracious appetite for GME stock.

Its likely the stock fades as these calls expire. Its certain that many of these calls, particularly the $40 strike were actually sold but we suspect based on sentiment that many of the 20-30 strike calls were long.

SpotGamma Report for: 01/13/2021 PM

Daily Note: The SPX pushed higher to 3809 today, what's interesting to note about that is its equivalent to 380 SPY which is a very large options strike. SPX volume was strong at 1.2mm contracts and a 1.6PC ratio. The VIX closed near the days lows at 22.22 (-1.1, -4.8%). Todays data likely repeats for […]

###

Please login to access this content.

If you're a member and you're already logged in, it's possible the content you're looking at is part of a different subscription, which you can upgrade to in your Account Page by clicking on the Subscriptions tab. Thanks for being a member!

If you are a guest and do not have a SpotGamma membership yet, we invite you to trial our services for free by signing up on the Subscription page. Welcome!

SpotGamma Report for: 01/13/2021 AM

Daily Note: Futures held a tight range around 3800 in the overnight session. Gamma levels drop slightly which was anticipated given the high PutCall ratio yesterday. Despite SPX being fairly flat ($175mm), we note SPY gamma remains quite strong at $900mm. The major range to watch remains unchanged: 3750 critical support with a 3800 the […]

###

Please login to access this content.

If you're a member and you're already logged in, it's possible the content you're looking at is part of a different subscription, which you can upgrade to in your Account Page by clicking on the Subscriptions tab. Thanks for being a member!

If you are a guest and do not have a SpotGamma membership yet, we invite you to trial our services for free by signing up on the Subscription page. Welcome!