Spot Gamma

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

SpotGamma Report for: 02/28/2020 AM

Searching for a Market Bounce: Feb 2020

Below are a few charts that we’ve been watching as we’re in the midst of the Crash of Feb 2020. Several indicators are showing extreme readings and we wanted to chronicle those.

One of the things we look at “Gamma Tilt” which is a measurement of call gamma:put gamma. You can see it is approaching the lows of 2018. The updated chart is available to subscribers.

SPX Call Gamma to Put Gamma Ratio - Gamma Tilt
SPX Call Gamma to Put Gamma Ratio – Gamma Tilt

Bespoke Invest: Put volumes today were the highest since February 6th, 2018 (during the period when the volatility markets blew up thanks to the VIX). 

Bespoke Invest Record CBOE Put Volume
Bespoke Invest Record CBOE Put Volume 2/26/20

Trade Alert LLC: New all-time option volume record deserves a new post! 40.7M contracts today blows away the prior record set in 2011 and exceeds the total contract volume for the entire year of 1977 by 3M contracts.

From 2/26/20 TradeAlert LLC Record Options Volume
From 2/26/20 TradeAlert LLC Record Options Volume