We like to post the banks gamma model output as way to check our own models. The two line up almost exactly.
For now, US equities are “pinned” thanks to helpful greeks – at least until something really bad happens. “The fact remains that SPX will stay ‘sticky’ up here between the enormous 3100- ($9.4B $Gamma) and 3150- ($8.4B $Gamma) strikes until the introduction of a fresh macro ‘shock-down’ catalyst”, Nomura’s Charlie McElligott wrote Thursday, adding that “the current ‘Long $Gamma’ does not ‘flip’ until down at 3055, while the current ‘Long $Delta’ would flip until even lower at 3030”.
Nomura Mcgelligot Nov 2019
Our model shows our flip point of 3045 (first chart) with top positive gamma strikes of 3150 & 3000 (second chart):
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