SpotGamma Gamma Report: 202030 PM

Mar 30 2020

SpotGamma Gamma Report: 202030 PM


Strong trend day up in markets and move lower in VIX which helps to reduce negative gamma. We are slowly but surely consolidating the daily price range in markets and there seems to be a bit more positive health news today than negative which both push VIX lower. Options volume was again light with about 500k calls/750k puts traded on the day. We are getting several questions as to the difference between the SPY and SPX gamma profiles – and I would equate much of that to SPY being more of a retail product than SPX and so occasionally we can get a deviation like this. It may be that SPY is even more of a choice for retail at current due to the high premiums in options driven by high implied volatility. So, more traders than usual may just be “priced out” of trading SPX. 2700 is the next strike higher with a large amount of gamma – so we are watching the 2500-2600-2700 range for tomorrows trading. We do have a fair amount of options expiring between the OPEX today and monthly OPEX tomorrow which may help reduce negative gamma. Lack of news is now good news if the decline in VIX can continue, combined with month end flows that are apparently bullish we could see a continuation of todays move.

Strong trend day up in markets and move lower in VIX which helps to reduce negative gamma. We are slowly but surely consolidating the daily price range in markets and there seems to be a bit more positive health news today than negative which both push VIX lower. Options volume was again light with about 500k calls/750k puts traded on the day. We are getting several questions as to the difference between the SPY and SPX gamma profiles – and I would equate much of that to SPY being more of a retail product than SPX and so occasionally we can get a deviation like this. It may be that SPY is even more of a choice for retail at current due to the high premiums in options driven by high implied volatility. So, more traders than usual may just be “priced out” of trading SPX. 2700 is the next strike higher with a large amount of gamma – so we are watching the 2500-2600-2700 range for tomorrows trading. We do have a fair amount of options expiring between the OPEX today and monthly OPEX tomorrow which may help reduce negative gamma. Lack of news is now good news if the decline in VIX can continue, combined with month end flows that are apparently bullish we could see a continuation of todays move.

Event	Time EST	Actual	Forecast	Previous
No events	–	–	–	–

Signal Name	Latest Data	Previous
SPX Ref:	2607.75	2523.5
VIX Ref:	57.26	64.81
Gamma Per Point:	$-722,369,704.00	$-808,229,315.01
Zero Gamma Level:	3065.0	3068.0
Vol Trig:	3050.0	3050.0
High Gamma Strike Resistance:	2620.0 Size: 1/10	2530.0
Top Abs. Gamma Strike:	2600.0	2500.0
Put Wall Support:	2600.0 Size: 2/10	2500.0
Call Wall Strike:	2620.0 Size: 0/10	2530.0
CP Gam Tilt:	0.58	0.54
Net Delta:	$-5,931,835,469.00	$-8,006,850,666.00

Model Forecast:
Intraday support/resistance levels (during high gamma periods): 2620.0, 2605.0, 2615.0, 2555.0, 2530.0 The PutWall has moved to: 2600.0 from: 2500.0 The Call Wall has moved to: 2620.0 from: 2530.0 The High Gamma Strike has moved to: 2620.0 from: 2530.0 SPX is below the volatility trigger. The 3070.0 level is first level of resistance and is critical as its the negative gamma threshold. The trigger level of: 3050.0 will act as overhead resistance. Watching VIX is key, if volatility comes in dealers will start to buy back shares as their short puts lose value. This could start a rally. The total gamma has moved has moved UP: $-723.00MM from: $-809.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market

Model Forecast:

Intraday support/resistance levels (during high gamma periods): 2620.0, 2605.0, 2615.0, 2555.0, 2530.0

The PutWall has moved to: 2600.0 from: 2500.0
The Call Wall has moved to: 2620.0 from: 2530.0
The High Gamma Strike has moved to: 2620.0 from: 2530.0
SPX is below the volatility trigger. The 3070.0 level is first level of resistance and is critical as its the negative gamma threshold.
The trigger level of: 3050.0 will act as overhead resistance.
Watching VIX is key, if volatility comes in dealers will start to buy back shares as their short puts lose value. This could start a rally.
The total gamma has moved has moved UP: $-723.00MM from: $-809.00MM
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma is moderate favoring further swings in the market

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Mar 30 2020

SpotGamma Gamma Report: 202030 AM


Gamma levels little changed over the weekend but the zero gamma level does continue to inch down. Interestingly the SPY zero gamma level seems to be forming close to 265-270. One thing to note about these zero gamma levels: what will likely happen is a move down in the level when we get some concrete, positive news (likely health related). This would push VIX to new lows and bring call volumes up which would drop negative gamma without needing higher SPX prices. We still have light call positioning, and the addition of large at the money or just out of the money calls could quickly reduce the negative gamma and help to push the zero gamma level lower. Like we saw last week 2500 is the large gamma level with both 2400 and 2600 as the wider range based on open interest. Lastly, its important to consider that it is month end and those flows may start today into 4/1 and various banks seem to indicate these flows may bring sizable buying and this can often manifest into the close of the trading day.

Gamma levels little changed over the weekend but the zero gamma level does continue to inch down. Interestingly the SPY zero gamma level seems to be forming close to 265-270. One thing to note about these zero gamma levels: what will likely happen is a move down in the level when we get some concrete, positive news (likely health related). This would push VIX to new lows and bring call volumes up which would drop negative gamma without needing higher SPX prices. We still have light call positioning, and the addition of large at the money or just out of the money calls could quickly reduce the negative gamma and help to push the zero gamma level lower. Like we saw last week 2500 is the large gamma level with both 2400 and 2600 as the wider range based on open interest. Lastly, its important to consider that it is month end and those flows may start today into 4/1 and various banks seem to indicate these flows may bring sizable buying and this can often manifest into the close of the trading day.

Event	Time EST	Actual	Forecast	Previous
No events	–	–	–	–

Signal Name	Latest Data	Previous
SPX Ref:	2523.5	2527.0
VIX Ref:	64.81	64.27
Gamma Per Point:	$-808,229,315.01	$-761,789,361.41
Zero Gamma Level:	3068.0	3088.0
Vol Trig:	3050.0	3050.0
High Gamma Strike Resistance:	2530.0 Size: 0/10	2530.0
Top Abs. Gamma Strike:	2500.0	2500.0
Put Wall Support:	2500.0 Size: 3/10	2500.0
Call Wall Strike:	2530.0 Size: 0/10	2530.0
CP Gam Tilt:	0.54	0.57
Net Delta:	$-8,006,850,666.00	$-8,679,924,213.00

Model Forecast:
Intraday support/resistance levels (during high gamma periods): 2530.0, 2455.0, 2540.0, 2555.0, 2535.0 SPX is below the volatility trigger. The 3069.0 level is first level of resistance and is critical as its the negative gamma threshold. The trigger level of: 3050.0 will act as overhead resistance. Watching VIX is key, if volatility comes in dealers will start to buy back shares as their short puts lose value. This could start a rally. The total gamma has moved DOWN: $-808.23MM from: $-762.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market

Model Forecast:

Intraday support/resistance levels (during high gamma periods): 2530.0, 2455.0, 2540.0, 2555.0, 2535.0

SPX is below the volatility trigger. The 3069.0 level is first level of resistance and is critical as its the negative gamma threshold.
The trigger level of: 3050.0 will act as overhead resistance.
Watching VIX is key, if volatility comes in dealers will start to buy back shares as their short puts lose value. This could start a rally.
The total gamma has moved DOWN: $-808.23MM from: $-762.00MM
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma is moderate favoring further swings in the market

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Mar 27 2020

SpotGamma Gamma Report: 202027 PM


Most of the day held in wait for the Stimulus vote, and its noteable that a passing vote couldnt lift markets. We saw light volume again with puts outweighing calls suggesting that net gamma wont change much over the weekend. Our sentiment from this morning seems to have held true today that the market is in limbo and investors may simply suffering from fatigue. As we had an SPX that went basically unchanged from the open, and small volumes there is little update from an options perspective. Please enjoy your weekend and stay safe.

Most of the day held in wait for the Stimulus vote, and its noteable that a passing vote couldnt lift markets. We saw light volume again with puts outweighing calls suggesting that net gamma wont change much over the weekend. Our sentiment from this morning seems to have held true today that the market is in limbo and investors may simply suffering from fatigue. As we had an SPX that went basically unchanged from the open, and small volumes there is little update from an options perspective. Please enjoy your weekend and stay safe.

Event	Time EST	Actual	Forecast	Previous
No events	–	–	–	–

Signal Name	Latest Data	Previous
SPX Ref:	2527.0	2547.0
VIX Ref:	64.27	66.55
Gamma Per Point:	$-761,789,361.41	$-760,100,081.13
Zero Gamma Level:	3088.0	3090.0
Vol Trig:	3050.0	3050.0
High Gamma Strike Resistance:	2530.0 Size: 1/10	2530.0
Top Abs. Gamma Strike:	2500.0	2550.0
Put Wall Support:	2500.0 Size: 3/10	2500.0
Call Wall Strike:	2530.0 Size: 0/10	2590.0
CP Gam Tilt:	0.57	0.58
Net Delta:	$-8,679,924,213.00	$-8,176,416,038.00

Model Forecast:
Intraday support/resistance levels (during high gamma periods): 2530.0, 2535.0, 2455.0, 2540.0, 2555.0 The Call Wall has moved to: 2530.0 from: 2590.0 SPX is below the volatility trigger. The 3088.0 level is first level of resistance and is critical as its the negative gamma threshold. The trigger level of: 3050.0 will act as overhead resistance. Watching VIX is key, if volatility comes in dealers will start to buy back shares as their short puts lose value. This could start a rally. The total gamma has moved DOWN: $-761.79MM from: $-761.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market

Model Forecast:

Intraday support/resistance levels (during high gamma periods): 2530.0, 2535.0, 2455.0, 2540.0, 2555.0

The Call Wall has moved to: 2530.0 from: 2590.0
SPX is below the volatility trigger. The 3088.0 level is first level of resistance and is critical as its the negative gamma threshold.
The trigger level of: 3050.0 will act as overhead resistance.
Watching VIX is key, if volatility comes in dealers will start to buy back shares as their short puts lose value. This could start a rally.
The total gamma has moved DOWN: $-761.79MM from: $-761.00MM
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma is moderate favoring further swings in the market

Subscriber Only Site Links:
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Mar 27 2020

SpotGamma Gamma Report: 202027 AM


We retraced the large move from the close last night and are around 2550 in futures. The options data now feels stagnant and I think that lines up with overall sentiment. Volumes are really pretty light compared to recent levels and I do believe it is hard to have much conviction here. We had been seeing a setup for this rally, but currently it seems (from an options perspective) we’re now in limbo. If VIX breaks down that may help to really push us the rest of the way higher to zero gamma, but at the moment VIX seems resilient. Therefore we look for the market to continue to play between these “big round numbers” where the largest gamma sits (2600,2500,2400), waiting for a catalyst.

We retraced the large move from the close last night and are around 2550 in futures. The options data now feels stagnant and I think that lines up with overall sentiment. Volumes are really pretty light compared to recent levels and I do believe it is hard to have much conviction here. We had been seeing a setup for this rally, but currently it seems (from an options perspective) we’re now in limbo. If VIX breaks down that may help to really push us the rest of the way higher to zero gamma, but at the moment VIX seems resilient. Therefore we look for the market to continue to play between these “big round numbers” where the largest gamma sits (2600,2500,2400), waiting for a catalyst.

Event	Time EST	Actual	Forecast	Previous
No events	–	–	–	–

Signal Name	Latest Data	Previous
SPX Ref:	2547.0	2611.75
VIX Ref:	66.55	60.8
Gamma Per Point:	$-760,100,081.13	$-753,355,486.25
Zero Gamma Level:	3084.0	3090.0
Vol Trig:	3050.0	3050.0
High Gamma Strike Resistance:	2530.0 Size: 0/10	2590.0
Top Abs. Gamma Strike:	2550.0	2600.0
Put Wall Support:	2500.0 Size: 2/10	2600.0
Call Wall Strike:	2590.0 Size: 0/10	2590.0
CP Gam Tilt:	0.58	0.57
Net Delta:	$-8,176,416,038.00	$-6,554,987,605.00

Model Forecast:
Intraday support/resistance levels (during high gamma periods): 2530.0, 2590.0, 2555.0, 2535.0, 2540.0 The PutWall has moved to: 2500.0 from: 2600.0 The High Gamma Strike has moved to: 2530.0 from: 2590.0 SPX is below the volatility trigger. The 3084.0 level is first level of resistance and is critical as its the negative gamma threshold. The trigger level of: 3050.0 will act as overhead resistance. Watching VIX is key, if volatility comes in dealers will start to buy back shares as their short puts lose value. This could start a rally. The total gamma has moved DOWN: $-760,100,081.13 from: $-753,355,486.25 Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market

Model Forecast:

Intraday support/resistance levels (during high gamma periods): 2530.0, 2590.0, 2555.0, 2535.0, 2540.0

The PutWall has moved to: 2500.0 from: 2600.0
The High Gamma Strike has moved to: 2530.0 from: 2590.0
SPX is below the volatility trigger. The 3084.0 level is first level of resistance and is critical as its the negative gamma threshold.
The trigger level of: 3050.0 will act as overhead resistance.
Watching VIX is key, if volatility comes in dealers will start to buy back shares as their short puts lose value. This could start a rally.
The total gamma has moved DOWN: $-760,100,081.13 from: $-753,355,486.25
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma is moderate favoring further swings in the market

Subscriber Only Site Links:
Sub Login Follow @SpotGamma Strike Charts Historical Chart Gamma Expiration Tool

Mar 26 2020

SpotGamma Report for: 03/26/2020 AM

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SpotGamma Gamma Report: 202030 PM

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