You will receive our latest S&P500 (SPX/SPY) significant market levels and research in an email twice daily. Plus you get access to subscriber-only website charts and data.
All provided in a clear, actionable format.
SpotGamma’s model is similar to those produced by JP Morgan, Nomura and other large banks. But they only make this information available to their clients.
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We are at a critical trade hedging decision point for short volatility trading strategies. @spotgamma has been doing a wonderful job with key #trading levels#vix #volatility #SPX $SPY #markets #OptionsTrading https://t.co/lRZCz8p1T2— Futures Magazine (@FuturesTradeMag) January 30, 2020
Your 2x daily emails contains the following unique metrics:
- SpotGamma Briefing – an short analysis of model changes and market outlook
- Total Current Market Gamma – a predictive measure of the daily market trading range
- Options based support and resistance levels – areas where options dealers may provide support/resistance
- “Volatility Trigger” level – SPX/SPY price at which volatility may spike and hedges are warranted
- “Put Floor” level – potential support areas during “crash” periods
- Call/Put Gamma Ratio (CP Gamma Tilt) – The Call/Put Ratio on steroids
- US Economic Data & Event Calendar
Here is a recent sample sent to our subscribers:
Subscribe now to receive:
- Comprehensive S&P500 options market commentary and analysis.
- Total Market Gamma levels which can help you forecast the amount of movement in the S&P500 . We provide an updated gamma snapshot mapping out the latest volatility zones (see the FAQ for details) .
- Top Gamma Strikes: Support and resistance levels calculated from the S&P500 options market open interest. See one example of how this can play out: here
- Notifications when the market crosses the zero gamma “Volatility Trigger” so that you can prepare your portfolio for the potential of large moves associated with negative gamma.
- Complete Economic data & release calendar (US market) provided in the daily emails.
The chart below is a history of our signals. The signal is calculated at the open of trading, but the S&P500 data is the market closing price. This indicates it is predictive data. Note how the movement of the S&P500 (SPX, top chart) moves in relation to changes in gamma (middle chart).
A few examples of how you may choose to use this information:
- Hedge or sell positions when market crosses the 0 gamma threshold
- Sell calls or close long positions when market approaches the “call wall” (3025 in chart above)
- Go long when call walls shift higher
- Short volatility when market is positive gamma territory, long volatility when it is below.
- Estimate significant market support when prices crash to put wall levels
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This is a quick example of how this information could be used to trade. We calculated large gamma in the market and significant interest at the 3000 strike in the SPX during the week of 10/14/19. This led us to believe the market would “pin” this level. We viewed a low likelihood of a breakout or selloff in the market because of the high gamma. See a detailed write up here.
On a separate occasion the market broke our volatility trigger level, indicating that the market was setup for a potential selloff. You can see once the market broke the trigger level of 2970 a sharp selloff ensued – we believe because of negative dealer gamma. Read more about negative gamma and “gamma traps” here.
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