Daily Note: The SPX pushed 10pts higher to close at 4422. This places it through our Call Wall resistance line, and we therefore consider the market overextended until/unless that Call Wall shifts to 4450 or higher. Our intraday options HIRO signal showed bullish flowinto the S&P500, likely buoyed by put sales which helped push the […]
SpotGamma Report for: 07/27/2021 AM
SpotGamma Report for: 07/26/2021 PM
Daily Note: The SPX pushed 10pts higher to close at 4422. This places it through our Call Wall resistance line, and we therefore consider the market overextended until/unless that Call Wall shifts to 4450 or higher. Our intraday options HIRO signal showed bullish flowinto the S&P500, likely buoyed by put sales which helped push the […]
SpotGamma Report for: 07/26/2021 AM
Daily Note: Futures took a dip to 4375 overnight but have recovered to 4400. 4400 is the largest gamma strike on the board, and also remains the Call Wall resistance line. We therefore see the options market pricing the SPX “fair value” at 4378 support to major resistance of 4404. On Friday we had mentioned […]
SpotGamma Report for: 07/26/2021 AM
Daily Note: NOTE TO FOLLOW PREOPEN Model Overview:4400 top of the range, 4330 critical support for August OPEX. SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ Ref Price: 4389 4399 439 15081 368 SpotGamma Imp. 1 Day Move: 1.34%, 59.0 pts Range: 4330.0 | 4448.0 SpotGamma Imp. 5 Day Move: 4389 2.03% Range: 4300.0 […]
SpotGamma Report for: 07/24/2021 PM
Daily Note: A big push higher in the SPX to new all time highs of 4411. That coincides with 440 SPY, and major resistance according to our models. For Monday our key data point will be in if this Call Wall shifts to a new higher strike, which opens the market to higher prices. The […]
SpotGamma Report for: 07/23/2021 AM
Daily Note: Futures have pushed higher to 4380 which places the SPX near its 4400 Call Wall resistance line. Our gamma index is flat overnight, which implies another tight trading range of 71bps/31pts. For today we detect large support at 4382 and 4350. Below is a chart of gamma by strike, and you can see […]
SpotGamma Report for: 07/23/2021 AM
Daily Note: NOTE TO FOLLOW PREOPEN Model Overview:4400 top of the range, 4330 critical support for August OPEX. SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ Ref Price: 4373 4369 435 14977 363 SpotGamma Imp. 1 Day Move: 0.71%, 31.0 pts Range: 4342.0 | 4404.0 SpotGamma Imp. 5 Day Move: 4303 2.02% Range: 4217.0 […]
SpotGamma Report for: 07/23/2021 PM
Daily Note: Volatility was much lower today, with the SPX closing +8pts to 4367. SPX options volume was quite light at 850k contracts. The VIX was down slightly to 17.69. While QQQ was +60bps there was some notable weakness in IWM -1.6%. With that we saw some distinct weakness in memes, with AMC -8% and […]
AMC Trade Examples – July 21, 2021
This is a guest post from professional trader David Blake. I wanted to share my trades on AMC, the cinemas, from yesterday’s action on July 21, 2021. Brent did a great YouTube video in the day and that’s worth a watch to set context if you weren’t following play: AMC Trading Setup My setup from the […]
SpotGamma Report for: 07/22/2021 AM
Daily Note: Futures are slightly higher to 4360 after a quiet overnight session. There was a substantial build in positive gamma which brings our estimated max move to just 71bbps/31pts for today. 4350 is large support with 4376 the next level overhead. 4400 is the top end of our range into Fridays close. Implied volatility […]