Sign up today for an exclusive discount along with our 30-day GUARANTEE — Love us or leave, with your money back! Click here to become a part of our growing community and learn how to stop gambling with your investments. We will teach you to BE THE HOUSE — Not the Gambler!

Click here to see some testimonials from our members!

With Stocks In Full-Blown Melt Up, Here Are The Key Gamma And Delta Strikes To Watch

Courtesy of ZeroHedge View original post here.

Yesterday we presented a lengthy explanation why in a technically and position-driven market such as this one, gamma is arguably one of the most important factor explaining short-term market moves. This prompted numerous reader inquiries what are the key gamma (and delta) strikes to watch. Today, courtesy of Nomura’s Charlie McElligott, and in light of today’s year-end quad withing day, we answer this question.

First, looking at the market gamma pins, McElligott notes that the big strikes now are at 3,210, 3,225 and 3,250 as gamma shifts to ever higher strikes on account of overwriters rolling “out and up.”

With overall dealer gamma having spiked in recent week, McElligott calculates that gamma won’t flip negative until well below 3,130, as shown in the second chart below.

With gamma having a ways to go before it starts feeding on any selloff, the delta “flip” level even lower, and would require a 100+ point drop in the S&P, to 3,117, before it is triggered.

Meanwhile, with the year-end meltup in full force, what we are getting instead, is a clobbering of the VIX which has slumped all day…

… pushing the S&P to new all time highs around the 3,225 gamma pin.


Do you know someone who would benefit from this information? We can send your friend a strictly confidential, one-time email telling them about this information. Your privacy and your friend's privacy is your business... no spam! Click here and tell a friend!





You must be logged in to make a comment.
You can sign up for a membership or get a FREE Daily News membership or log in

Sign up today for an exclusive discount along with our 30-day GUARANTEE — Love us or leave, with your money back! Click here to become a part of our growing community and learn how to stop gambling with your investments. We will teach you to BE THE HOUSE — Not the Gambler!

Click here to see some testimonials from our members!