A “Fairly Rare Phenomenon” Occurs In Equity Options Land BY TYLER DURDENMONDAY, APR 12, 2021 – 10:15 AM US equity futures have traded the high to low range of Friday’s late-day meltup mania since they opened last night as a modest Asian derisking (following disappointing Chinese credit data, particularly with concerns surrounding the sharp decline of […]
Nomura Gamma Update
SpotGamma Report for: 04/12/2021 AM
Daily Note: Futures are slightly off of Fridays close to 4010. There was not much of a change in levels from Friday with 4100 remaining the large pin/resistance area. We anticipate this very large level remaining in play up to this Fridays large OPEX. For today, a small trading range is anticipated (65bps) with resistance […]
SpotGamma Report for: 04/12/2021 AM
Daily Note: NOTE TO FOLLOW PREOPEN Macro Note:4100 resistance and 4000 support into April OPEX. Gamma is large and positive, which implies low volatility and a tailwind for equities. Signal Name Latest Data Previous SPY NDX QQQ Ref Price: 4106 4112 411 13804 337 VIX Ref: 14 16.69 SG Gamma Index™: 1.43 1.57 0.19 0.01 […]
SpotGamma Report for: 04/10/2021 PM
Daily Note: Another very sharp run into the close to record highs at 4128. The SPX finished +77bps and QQQ +60bps. Of course, most of that return came in the final 45minutes wherein the SPX launched from 4108 to 4128. The VIX dropped slightly to 16.7, with SPX volume high at 1.5mm contracts. The strength […]
SpotGamma Report for: 04/09/2021 AM
Daily Note: Futures are at 4090 after making new highs of 4012 overnight. With little change in call open interest, 4100 remains the Call Wall resistance point. There were some interesting put interest changes, with ~20k added to both 4075 & 4080 and ~17k added to the 4000 strike. This has changed the distribution of […]
SpotGamma Report for: 04/09/2021 AM
Daily Note: NOTE TO FOLLOW PREOPEN Macro Note:4100 resistance and 4000 support into April OPEX. Gamma is large and positive, which implies low volatility and a tailwind for equities. Signal Name Latest Data Previous SPY NDX QQQ Ref Price: 4091 4095 408 13745 335 VIX Ref: 16.95 16.95 SG Gamma Index™: 1.55 1.56 0.17 0.01 […]
SpotGamma Report for: 04/08/2021 PM
Daily Note: Futures again held a tight range, closing just under the large 4100 reistance line. QQQ added 1% to close at the 335 resistance line, and IWM +85bps. The VIX closed down slightly on the day, but crossed (and closed) under 16 for the first time in months. SPX options volume was average at […]
SpotGamma Report for: 04/08/2021 AM
Daily Note: Futures made an overnight high of 4092, but have pulled back slightly to 4080. This push higher could place the market up against the 4100 Call Wall today, which we consider resistance. However we mark the larger resistance line at 4109 which is a large Combo strike that incorporates the 410 SPY Call […]
SpotGamma Report for: 04/08/2021 AM
Daily Note: NOTE TO FOLLOW PREOPEN Macro Note:4050 resistance, 4000 support. Signal Name Latest Data Previous SPY NDX QQQ Ref Price: 4090 4075 406 13731 331 VIX Ref: 17.16 17.16 SG Gamma Index™: 1.56 1.49 0.17 0.02 -0.00 Gamma Notional(MM): $709 $602 $767 $3 $-32 SGI Imp. 1 Day Move: 0.53%, 22.0 pts Range: 4068.0 […]
SpotGamma Report for: 04/07/2021 PM
Daily Note: Little movement in markets today with SPX +15bps, NDX -07bps, however RUT -160bps. The VIX dropped to 17.16 (-5%). SPX options volume was again light at 960k contracts. This “stalling” of price is in line with gamma forecasts, as total gamma remains high, and the bulk of OI lives <=4050. Additionally the headwind […]