SpotGammaModel

SpotGammaModel

$SPX just for reference spotgamma.com

SpotGammaModel

We've been tracking the similarity between Jan 18 and Jan 20. It seems to keep rhyming.

SpotGammaModel Updated 

The movement overnight on 1/7-1/8 was quite impressive and did provide a large dip. However it was quickly bought up and it appears the Iran situation is deescalating. We're seeing calls trading overhead, lots of long gamma and a reduction in VIX. As such we are looking for a move to 327.5-330 (3375 -3300 SPX) www.spotgamma.com

SpotGammaModel Updated 

The market has been very hot with lots of call positioning that was continuously rolled higher spurring a large rally. 325 (3250 SPX) has been a ceiling for some time and we've been unable to breach that level. The Iran news adds uncertainty which increases implied volatility and hedging. This makes puts more influential. Coupled with a "tired" market I think we...

SpotGammaModel Updated 

Our options indicators suggest the market is shifting higher and we are looking for a 325 target in SPY. 320 first line of support based on open interest at that strike. www.spotgamma.com

SpotGammaModel Updated 

315 was the previous indicator which rolled to 320. There is a large options expiration on 12/20 with many in the money call options. These positions may spur larger than expected price movement this week. www.spotgamma.com

SpotGammaModel Updated 

Our options metrics show an extended market due to the amount of positive gamma. There is significant open interest at the 3150 level which we do not see being rolled higher (yet) due to both the FOMC and tariff deadlines over the next weekend. Just as what happened on Monday/Tuesday we think that any put buying could cause a move down in the market as dealers...

SpotGammaModel Updated 

Our options metrics show that a range of 310/315 in the SPY is setup here as the market moves into several events Mid - December. We view the selloff earlier this week led by put buying which moved the market lower. Movement below 310 or above 315 may well be pressed back into the box until we move closer to the 12/15 tariff date. We calculate overall market gamma...

SpotGammaModel Updated 

Since early October market gamma has been >$1bn and there has been a large concentration of call gamma to put gamma. As calls have been rolled the market was pulled up with it. There is significant open interest in the December monthly options expiration that may help set a trading range for December. Additionally there is an FOMC meeting on the 10th. Currently...

SpotGammaModel Updated 

Now that November OPEX is over we turn to December. The options data ranges set themselves higher indicating a new target overhead of 3150. Market gamma overall is very high suggesting tight trading ranges and a low volatility market. www.spotgamma.com

SpotGammaModel Updated 

For expiration September 20th we have a very large call wall at 300 in $SPY and 3000 SPX. We're shorting here with a stop just above. Considering FOMC next week as well we think its a good place to sell some upside premium or scalp some shorts down to 297.5/295 support. Because the market is long a long of gamma we don't see a large selloff materializing before the FOMC.

SpotGammaModel Updated 

After weeks of very wide ranges we see “trade-able” ranges forming. 2950 form as a bit of an upside resistance level. 2900 is also building as support as we move towards September Op-Ex. From our models perspective it seems like a decent bet we stay in this 2900-2950 range for the next few days. 3000 is still a very large hurdle overhead. From our note on spotgamma.com

SpotGammaModel Updated 

Overnight ramp on whatever news puts us back in long gamma territory. Headline/tweet risk aside that puts the market back in lower volatility mode where >1% moves shouldn't be the norm. Looking for a short term consolidation drift here due to dealers being long gamma.

SpotGammaModel Updated 

In SPX and SPY we have 2900/291 as zero gamma meaning dealers are going to help buy stocks on a rally up to 2900/291. These levels are based on the SpotGamma options model. Over that there has to be real buyers to continue up. 285/2850 has held recently and is a large area of put open interest. That could provide support. Expect whippy markets until then unless we...

SpotGammaModel Updated 

Until the 2900 volatility trigger kicks in there is amplified risk to downside. 2900 is where options dealers flip from short gamma to long ie from "volatility fueling" to "volatility dampening". That's not a bearish call - simply means that risks of a 1-2% down move in very short order is still there. Market needs a real catalyst to move higher, other over 2900...

SpotGammaModel Updated 

Dealers are still short gamma until the market is over 2900. Based on last several days this indicates 2900 could be a decent topping target. Large Put open interest at 2850 may provide support. Because dealers are short gamma then will fuel the market higher or lower when the direction gets set. In summary: volatility is likely to continue unless markets push...

SpotGammaModel Updated 

No idea which direction comes after the Fed today but based on the options market it appears that any negative news will be met with strong selling by options dealers and could make a large move down possible. Good news could see a decent rally, but there is resistance forming at 2950 and larger resistance at 3000. In other words it appears that a chance of a move...

SpotGammaModel

2920 remains our zero gamma target and with market volume basically nonexistent the market will most likely hold this level until some type of clear catalyst be it Fed minutes today or Powell speaking Friday. Once we get going in a direction we should trend for a few days.