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Files and plugins to use with major futures trading platforms.

SpotGamma provides bespoke analysis of the impact options and large institutional activity have on the broader markets and delivers reports each day before the open and after the close of trading. SpotGamma’s daily notes include description of the current market dynamics, detailed observations about trends our team observes, and our levels where we expect to see buyers and sellers. SpotGamma subscribers can choose which commentary and levels are most important to them (e.g. Daily SpotGamma Index) to consider when putting on trades.

This is a proprietary estimate of how much the SPX index may move the for the next cash session. Our gamma-derived estimate provides a valuable 1-day estimate of SPX movement. SpotGamma subscribers can have an estimated of the expected range on the day when determining their trading approach.

This is the strike with the largest total gamma position for the underlying stock. A large amount of the options market makers hedging position may be tied to this level and therefore it may function as a “magnet” and large liquidity area. SpotGamma users can consider this a key support/resistance level.

This is our proprietary indicator which detects at which level options market makers position shifts from positive gamma to negative gamma. If the stock is under this price level option market makers hedging flows shift from supporting market prices and suppressing volatility, to trading with market prices and expanding volatility. This level is an important support and resistance level. If the stock is below this level you can anticipate high market volatility. If the stock is above this level we anticipate lower volatility and a more stable stock price. 

This is a proprietary measurement of the total amount of gamma in the underlying asset. A large positive figure estimates future volatility is low. A large negative figure indicates volatility may be high. The range is from 4 to –4. Where there is a large positive reading, traders may elect to play smaller moves in markets, and estimate that current prices are well supported by options market maker hedging. A large negative reading infers much larger price movement and rapid directional changes.

This is the total market gamma estimate for a given price in the SPX. Today’s gamma estimate is in black, and future gamma estimates are in grey or blue. By knowing how much gamma is in the market one may be able to estimate volatility. When gamma is high and positive, the amount of volatility in the market should reduce. When gamma is low or negative, volatility may increase. Traders should consider playing for larger trading moves when markets are in a low to negative gamma position. When gamma is high traders may seek to profit from smaller market moves.

This model depicts the estimated delta hedging requirements for market makers options positions. The model shifts the S&P500 price as well as implied volatility. Therefore it includes “Vanna,” which is the change in options delta for a given change in implied volatility (green line). We also adjust for time by forecasting how hedging requirements change after the next expiration in SPX options (black line). This “Next Expiration” figure incorporates “Charm” which is the change in hedging requirements for a given change in time.  

The more positive the delta notional is, the more futures dealers may have to sell to offset their options long delta exposure. If the delta notional is anticipated to reduce, or shift lower, it implies that dealers may have to buy futures When there are large shifts in hedging expectations it may show areas of resistance (when the delta notional moves higher) or support (when the delta notional moves lower).

The OCC Indicator informs SpotGamma users as to which options are being bought to open or close positions. Knowing the rate of call options being bought to open will indicate a more bullish (more calls being bought to open) or bearish (more puts bought to open) market dynamic. Awareness around the dealers and market makers positioning informs SpotGamma users as to if we are in a bullish or bearish environment when executing their trades.

SpotGamma proprietary levels are used to find new ideas and to help pick stock entry points derived from SpotGamma options analysis. Build a personalized list of symbols to watch, see a rolling 5-day stock position lookback to view changes, and access gamma squeeze indicators that identify which stocks may be best poised to squeeze higher based on call options positioning.

The Dark Pool Indicator tracks transactions which take place off exchange. Institutions which engage in these trades are required to report them and through analyzing their activity one can make important interpretations. Through analyzing the activity in this data it may be possible to determine which stocks have high levels of institutional buying or selling.

Files and plugins to use with major futures trading platforms.

SpotGamma provides bespoke analysis of the impact options and large institutional activity have on the broader markets and delivers reports each day before the open and after the close of trading. SpotGamma’s daily notes include description of the current market dynamics, detailed observations about trends our team observes, and our levels where we expect to see buyers and sellers. SpotGamma subscribers can choose which commentary and levels are most important to them (e.g. Daily SpotGamma Index) to consider when putting on trades.

This is a proprietary estimate of how much the SPX index may move the for the next cash session. Our gamma-derived estimate provides a valuable 1-day estimate of SPX movement. SpotGamma subscribers can have an estimated of the expected range on the day when determining their trading approach.

This is the strike with the largest total gamma position for the underlying stock. A large amount of the options market makers hedging position may be tied to this level and therefore it may function as a “magnet” and large liquidity area. SpotGamma users can consider this a key support/resistance level.

This is our proprietary indicator which detects at which level options market makers position shifts from positive gamma to negative gamma. If the stock is under this price level option market makers hedging flows shift from supporting market prices and suppressing volatility, to trading with market prices and expanding volatility. This level is an important support and resistance level. If the stock is below this level you can anticipate high market volatility. If the stock is above this level we anticipate lower volatility and a more stable stock price. 

This is a proprietary measurement of the total amount of gamma in the underlying asset. A large positive figure estimates future volatility is low. A large negative figure indicates volatility may be high. The range is from 4 to –4. Where there is a large positive reading, traders may elect to play smaller moves in markets, and estimate that current prices are well supported by options market maker hedging. A large negative reading infers much larger price movement and rapid directional changes.

This is the total market gamma estimate for a given price in the SPX. Today’s gamma estimate is in black, and future gamma estimates are in grey or blue. By knowing how much gamma is in the market one may be able to estimate volatility. When gamma is high and positive, the amount of volatility in the market should reduce. When gamma is low or negative, volatility may increase. Traders should consider playing for larger trading moves when markets are in a low to negative gamma position. When gamma is high traders may seek to profit from smaller market moves.

This model depicts the estimated delta hedging requirements for market makers options positions. The model shifts the S&P500 price as well as implied volatility. Therefore it includes “Vanna,” which is the change in options delta for a given change in implied volatility (green line). We also adjust for time by forecasting how hedging requirements change after the next expiration in SPX options (black line). This “Next Expiration” figure incorporates “Charm” which is the change in hedging requirements for a given change in time.  

The more positive the delta notional is, the more futures dealers may have to sell to offset their options long delta exposure. If the delta notional is anticipated to reduce, or shift lower, it implies that dealers may have to buy futures When there are large shifts in hedging expectations it may show areas of resistance (when the delta notional moves higher) or support (when the delta notional moves lower).

The OCC Indicator informs SpotGamma users as to which options are being bought to open or close positions. Knowing the rate of call options being bought to open will indicate a more bullish (more calls being bought to open) or bearish (more puts bought to open) market dynamic. Awareness around the dealers and market makers positioning informs SpotGamma users as to if we are in a bullish or bearish environment when executing their trades.