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

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  • Top 20 Most Negative Put Gamma – These names are dominated by put positions. This could have an effect of holding a name down, and as large put positions expire the stock could rally.
  • Top 20 Largest Delta Positions – Large deltas indicate a lot of in the money options positions. This is key to note around large expirations, as the stock may reverse off of large deltas expiring.
  • Top 20 Most Negative Call Gamma – These names are dominated by call positions. This could have an effect of causing some stocks to rally, and as large call positions expire the stock could drop. Its important to note that some names (like AAPL, BAC) have a lot of call overwriting, so large gamma expirations may “unpin” the name.
  • Top Gamma % Expiring this Friday – names with lots of gamma expiring could unpin from current levels. As options decay into expiration, dealer hedging tightens up around the large gamma strike levels which may pin the stock. After expiration those options positions are gone, and hedging flows may change.
  • Top Delta % Expiring this Friday – names with lots of delta expiring could reverse trend. Large deltas can require large hedging positions, and once options expire dealers may need to unwind large hedging positions.
  • Top 20 Highest Put/Call Ratio – very bearish sentiment in this stock
  • Top 20 Lowest Put/Call Ratio – very bullish sentiment in the stock
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