• Skip to content
  • Skip to primary sidebar

SpotGamma™

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

  • Subscribe Now
  • Products
  • Blog
  • FAQ
  • Contact
    • About
  • Members
    • Account
    • Portal
    • Equity Hub 2.0

Apr 15 2020

The Options Magnet

We theorize that strikes with a high amount of options gamma combined with high options volume at that strike(s) can influence the SPX to that level. This something similar to an options “pin” but we think of it more as a “magnet”. You can see in the chart below that the 2800 strike has a large amount of options gamma associated with it:

SPX Absolute Gamma Options Strike
SPX Absolute Gamma Options Strike

We wrote about the significance of 2800 in our subscriber note on Tuesday morning:

SpotGamma Options Subscriber Note From 4/14/2020
SpotGamma Subscriber Note From 4/14/2020

The market proceeded to shoot to 2850 later that day, leaving our sentiment looking a bit questionable. However the highest volume strike yesterday was 2800 despite the market being almost 2% higher. Today of course the SPX opened under 2800 but is now back to testing that level.

SPX Price Chart 4/14/20-4/15/20
SPX Price Chart 4/14/20-4/15/20

Todays (4/15) Options volume centered around 2800 despite the market testing the 2760 level:

SPX Put Options Volume
SPX Put Options Volume
SPX Call Options Volume
SPX Call Options Volume

Below is a chart of current open interest, as well as the change in open interest from yesterday to today. You can see that 2800 was the most active despite the market trading above.

SPX Call and Put Open Interest and Change in Open Interest
SPX Call and Put Open Interest and Change in Open Interest

With the April Monthly OPEX around the corner things may shift, but for the next few days the market may revolve around 2800 if volume continues to accrue at that strike.


Subscribe now to get access to the Absolute Gamma and Open Interest charts.

  • Click to share on Twitter (Opens in new window)
  • Click to share on Facebook (Opens in new window)
  • Click to share on LinkedIn (Opens in new window)
  • Click to share on Reddit (Opens in new window)

Written by tenten · Categorized: Market Analysis · Tagged: options expiration, options gamma, options magnet, options pin

Primary Sidebar

Popular Posts

spotgamma-sidebar-weaponized-gamma-sidebar
spotgamma-sidebar-yolo-trade
did-softbank-weaponize-options-gamma-whale
goldman-gamma-op-ex-option-driven-equity-flow
spotgamma-on-the-market-huddle

Categories

  • Market Analysis (258)
  • SpotGamma Updates (4)
  • Stock (47)
  • Trade (3)
Follow @spotgamma on Twitter!
  • Subscribe
  • Disclaimer
  • Account
  • Portal

©2021 TenTen Capital LLC DBA SpotGamma