SpotGamma™

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

SpotGamma Report for: 12/04/2020 AM

SpotGamma Report for: 12/04/2020 AM

Daily Note: NOTE TO FOLLOW PREOPEN Macro Note:3500-3700 range into DEC OPEX. Signal Name Latest Data Previous SPY NDX QQQ Ref Price: 3672 3670 367 12505 304 VIX Ref: 21.28 21.28 SG Gamma Index™: 1.10 1.08 0.33 0.02 0.03 Gamma Notional(MM): $509.00 $544.00 $1,810.00 $3.00 $147.00 SGI Imp. 1 Day Move: 1.0%, 37.0 pts Range: […]

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SpotGamma Report for: 12/03/2020 PM

Daily Note: The market seemed poised to break towards 3700 when vaccine news hit and derailed the rally. It was a sharp drop from 3680 into 3660 before we caught a small bounce to close essentially unchanged. Through our lens we would credit the bounce to high gamma and the mean reverting action that tends […]

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SpotGamma Report for: 12/03/2020 AM

Daily Note: Futures are at 3667 after holding a fairly tight range overnight. Accordingly, there was little change in SG levels with 3650-3700 remaining as the short term range. 12/18 remains a very large expiration not only for SPX but for the majority of single stocks, too. This is of note as we typically see […]

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SpotGamma Report for: 12/03/2020 AM

Daily Note: NOTE TO FOLLOW PREOPEN Macro Note:3500-3700 range into DEC OPEX. Signal Name Latest Data Previous SPY NDX QQQ Ref Price: 3664 3669 366 12477 303 VIX Ref: 21.17 21.17 SG Gamma Index™: 1.08 1.16 0.34 0.02 0.04 Gamma Notional(MM): $510.00 $529.00 $1,771.00 $3.00 $219.00 SGI Imp. 1 Day Move: 1.0%, 37.0 pts Range: […]

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SpotGamma Report for: 12/02/2020 PM

Daily Note: SPX gave an inital AM test of they key 3650 support area before closing marginally higher. Curiously the VIX closed at the highs of the day, with SPX volume average at 900k contracts. Our models look for lower VIX prices as a catalyst for higher SPX prices, so these "higher VIX, higher SPX" […]

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BlackBerry BB Options Decay

Blackberry stock surged after news it was working with AMZN. This led to massive call buying, which likely helped to push the stock up as dealers must delta hedge. You can see the stock pushed up near 10, and is currently down at $7. As call buyers stopped theta stepped in, and all those calls started to decay. This likely led to some selling in the name.

$7 is an interesting level as its the largest options gamma strike on the board. The bulk of these options expire on 12/4, which means we may see BB tied to that $7 figure into expiration. The $5 level may serve as support into 12/18 due to a large amount of deltas tied to that expiration.

Its likely BB remains quite volatile into 12/18, and we think call buyers must step in for any push over $7 to happen again.

SoftBank Unwinding Options Book

From Bloomberg:

The Japanese conglomerate is letting its options expire, instead of maintaining its positions, the people said, who declined to speak publicly. About 90% of the contracts will close out by the end of December.

The fair value of SoftBank’s futures and options positions came to $2.7 billion at the end of September, or just 1.2% of the $292 billion in shareholdings. The positions include long call options on listed stocks worth $4.69 billion and short call options on listed stocks with negative $1.26 billion of value.

SpotGamma Report for: 12/02/2020 AM

Daily Note: Futures were quiet overnight and are holding 3650. That support zone we have been watching at 3600 has started to shift to 3650, which indicates that 3650 now needs to hold to cap a larger expansion in volatility.  That being said the data does not support a large drawdown immediately from these price […]

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SpotGamma Report for: 12/02/2020 AM

Daily Note: NOTE TO FOLLOW PREOPEN Macro Note:3500-3700 range into DEC OPEX. Signal Name Latest Data Previous SPY NDX QQQ Ref Price: 3652 3659 365 12428 303 VIX Ref: 20.77 20.77 SG Gamma Index™: 1.15 0.81 0.33 0.02 0.03 Gamma Notional(MM): $426.00 $534.00 $1,626.00 $2.00 $195.00 SGI Imp. 1 Day Move: 1.0%, 37.0 pts Range: […]

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SpotGamma Report for: 12/01/2020 PM

Daily Note: It was an interesting trading day today as the market seemed poised to break higher, but stalled back into the large 3664 combo strike. This fits in well with our AM note which remarked that these large positive gamma markets have a mean reverting tendency that is the context of higher prices. Many […]

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