Daily Note: Futures were flat overnight, holding 4160. There is now a large amount of gamma at the 4150SPX/415SPY strike which we think “locks in” this price area for today, and could give a base for the S&P to push higher. 4187 and 4200 show as the major resistance lines. Support shows at 4154. As […]
SpotGamma Report for: 04/22/2021 AM
SpotGamma Report for: 04/22/2021 AM
Daily Note: NOTE TO FOLLOW PREOPEN Model Overview:4000 – 4200 range into May OPEX. Gamma is currently moderate, and we see fairly low volatility unless markets break the 4100 level. Signal Name Latest Data Previous SPY NDX QQQ Ref Price: 4163 4158 416 13925 339 VIX Ref: 17.5 17.5 SG Gamma Index™: 0.70 0.41 0.07 […]
SpotGamma Report for: 04/21/2021 PM
Daily Note: A strong push higher in markets with the SPX +98bps, QQQ+86bps and IWM+244bps. The VIX dropped to 17.18, and SPX options volume was solid at 1.1mm contracts. As we were suggesting earlier, the inability of the market to “act” on the drawdown likely lead to this snapback “vanna” rally. Implied volatility was building, […]
SpotGamma Report for: 04/21/2021 AM
Daily Note: Futures are flat to last nights close, currently 4125. SPX gamma reduces and as a result we’re pricing in a bit more volatility today with an SG implied move of 87bps (vs 68 y’day). SPY & QQQ are both in a negative gamma position which can induce more volatility. We note support at […]
SpotGamma Report for: 04/20/2021 PM
Daily Note: Markets were weak again today, with the SPX closing down -68bps to 4134. The large Combo level of 4125 proved to be enough support for the day. The VIX, which has an OPEX tomorrow AM, put in a high of 19.7 before closing at 18.68. SPX options volume was decent, with 1mm contracts […]
SpotGamma Report for: 04/20/2021 AM
Daily Note: Futures are off to 4139 after overnight highs of 4167. Positive gamma has reduced significantly across the S&P500, with QQQ and IWM holding a flat to negative gamma position. We anticipate a bit more volatility today than yesterday, with an SG implied move of 68bps. Support lines show at 4125 and 4100, with […]
JPMorgan: Clients Are “Increasingly Nervous”, Fear “A Market Pullback In May Or June”
BY TYLER DURDEN SUNDAY, APR 18, 2021 – 08:49 PM Much to the delight of bulls everywhere, the past month has been a relentless meltup in stocks, commodities, cryptos, and – paradoxically over the past week when we have been bombarded with stellar economic data – Treasurys as well. After dumping at the end of […]
SpotGamma Report for: 04/19/2021 PM
Daily Note: Markets gave a bit back today, with the SPX -50bps. The high & low of the day were right at the tightest two SG levels: Combo1 of 4179, and the 4150 large gamma strike. QQQ gave a bit more back, -90bps, showing higher volatility as anticipated. The VIX added 6% to 17.3. Todays […]
Calm Before The Storm? Goldman Says ‘Buy The Dip’ In VIX
BY TYLER DURDEN MONDAY, APR 19, 2021 – 11:25 AM After Friday’s big option expiration, SpotGamma points out that both QQQ and IWM start the week at/in a negative gamma position, which implies higher relative volatility in those indices. There is also now a very wide range in distribution of SPX gamma (gamma is shallow and evenly dispersed 4100-4200 with […]
SpotGamma Report for: 04/19/2021 AM
Daily Note: 4165 is the current ES price, after very little movement overnight. The SG Implied range is only 60bps today, which is quite a small range given the large expiration on Friday. 4200 is major resistance. We do read the path of least resistance as lower, with initial support being 4150. Post-OPEX there is […]