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

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Jun 25 2020

SpotGamma Levels at Work

We publish key levels based off of S&P500 options gamma and interest levels before the open. We can push these levels into various trading systems like Bookmap. As you can see in the Bookmap screenshot below the ES futures played off of our trading levels throughout the day.

The market opened and immediately tested 3025 SPX (3013 ES) and then spend the rest of the day testing our proprietary Volatility Trigger level. This is a key resistance level as seen in the image below at just above 3050. Once the market finally broke through that area it immediately traded up to where we calculated the Zero Gamma levle of 3078(ES).

ES Futures Bookmap SpotGamma Trading Levels Options
ES Futures Bookmap SpotGamma Trading Levels Options

These options gamma levels are key for all traders because they indicate where option dealer hedging may take place. This flow could have major impacts on how the market moves and which levels are key.

Below is a full video of the session:

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Written by SpotGamma · Categorized: Market Analysis · Tagged: bookmap, futures, zero gamma

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All SpotGamma materials, information, and presentations are for educational purposes only and should not be considered specific investment advice nor recommendations. Futures, foreign currency and options trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing one's financial security or lifestyle. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results. Testimonials appearing on this website may not be representative of other clients or customers and is not a guarantee of future performance or success.

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