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Key Levels To Watch: S&P Is "Deep In The Throes Of Op-Ex Gamma Hedging"
05-17-2019, 11:13 AM,
#1
Key Levels To Watch: S&P Is "Deep In The Throes Of Op-Ex Gamma Hedging"
Key Levels To Watch: S&P Is "Deep In The Throes Of Op-Ex Gamma Hedging"

<p>S&P futures tumbled overnight, erasing all of yesterday's gains ahead of the cash market open. But once Op-Ex day began and stocks started trading, the S&P went vertical and is chopping around as Nomura's Charlie McElligott notes that trading <strong>remains deeply in the throes of Gamma hedging around Op-Ex</strong>.</p>

<p><a data-image-external-href="" data-image-href="/s3/files/inline-images/2019-05-17_7-18-51.jpg?itok=2ySzyK_-" data-link-option="0" href="https://www.zerohedge.com/s3/files/inline-images/2019-05-17_7-18-51.jpg?itok=2ySzyK_-"><picture><!--[if IE 9]><video style="display: none;"><![endif]--><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_desktop/public/inline-images/2019-05-17_7-18-51.jpg?itok=PXPWdodO 1x" media="all and (min-width: 1280px)" type="image/jpeg"></source><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_desktop/public/inline-images/2019-05-17_7-18-51.jpg?itok=PXPWdodO 1x" media="all and (min-width: 480px)" type="image/jpeg"></source><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_desktop/public/inline-images/2019-05-17_7-18-51.jpg?itok=PXPWdodO 1x, https://zh-prod-1cc738ca-7d3b-4a72-b792-...k=PXPWdodO 2x" media="all and (min-width: 1024px)" type="image/jpeg"></source><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_desktop/public/inline-images/2019-05-17_7-18-51.jpg?itok=PXPWdodO 1x" media="all and (min-width: 768px)" type="image/jpeg"></source><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_mobile/public/inline-images/2019-05-17_7-18-51.jpg?itok=2ySzyK_- 1x" type="image/jpeg"></source><!--[if IE 9]></video><![endif]--><img data-entity-type="file" data-entity-uuid="40951ec0-a2d2-488c-897b-85a6abd23547" data-responsive-image-style="inline_images" height="311" width="500" src="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/inline-images/2019-05-17_7-18-51.jpg" alt="" typeof="foaf:Image" /></picture></a></p>

<p><em>Via Nomura,</em></p>

<p>The following levels remain “in-play” (<em>and proving to act as magnets over the course of yesterday’s session</em>): </p>

<ul><li>
<p><strong>2850 to the downside</strong> (now $3.44B of notional Gamma)</p>
</li>
<li>
<p><strong>2880</strong> ($2.72B notional Gamma) and </p>
</li>
<li>
<p><strong>2900</strong> <strong>($6.46B notional Gamma—<em>thus that RAGING +55 handle rally intraday</em>)</strong> to the upside as most likely points across the range.</p>
</li>
</ul><p><a data-image-external-href="" data-image-href="/s3/files/inline-images/unnamed%20%281%29_7.jpg?itok=D2MkKXyi" data-link-option="0" href="https://www.zerohedge.com/s3/files/inline-images/unnamed%20%281%29_7.jpg?itok=D2MkKXyi"><picture><!--[if IE 9]><video style="display: none;"><![endif]--><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_desktop/public/inline-images/unnamed%20%281%29_7.jpg?itok=4Xjmfsjg 1x" media="all and (min-width: 1280px)" type="image/jpeg"></source><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_desktop/public/inline-images/unnamed%20%281%29_7.jpg?itok=4Xjmfsjg 1x" media="all and (min-width: 480px)" type="image/jpeg"></source><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_desktop/public/inline-images/unnamed%20%281%29_7.jpg?itok=4Xjmfsjg 1x, https://zh-prod-1cc738ca-7d3b-4a72-b792-...k=4Xjmfsjg 2x" media="all and (min-width: 1024px)" type="image/jpeg"></source><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_desktop/public/inline-images/unnamed%20%281%29_7.jpg?itok=4Xjmfsjg 1x" media="all and (min-width: 768px)" type="image/jpeg"></source><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_mobile/public/inline-images/unnamed%20%281%29_7.jpg?itok=D2MkKXyi 1x" type="image/jpeg"></source><!--[if IE 9]></video><![endif]--><img data-entity-type="file" data-entity-uuid="4796ced2-a6a5-4dfd-8a56-43539e08b768" data-responsive-image-style="inline_images" height="1624" width="500" src="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/inline-images/unnamed%20%281%29_7.jpg" alt="" typeof="foaf:Image" /></picture></a></p>

<p>Notably and despite the overnight tone,<strong> the S&P Call wing went “bid” yesterday (heavy 2950, 2975, 3000, 3025 C / CS activity) on a nerve-y “grab,”</strong> as futures were intraday pulled higher to the gravity of the large Gamma at 2880 & 2900 strikes, <strong>all part of the feedback loop which elicited “rolling stop-ins” from last week’s “short delta” hedges in Spooz.</strong></p>

<p><a data-image-external-href="" data-image-href="/s3/files/inline-images/image002_2.png?itok=gE1KVVEH" data-link-option="0" href="https://www.zerohedge.com/s3/files/inline-images/image002_2.png?itok=gE1KVVEH"><picture><!--[if IE 9]><video style="display: none;"><![endif]--><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_desktop/public/inline-images/image002_2.png?itok=5K7eFj-m 1x" media="all and (min-width: 1280px)" type="image/png"></source><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_desktop/public/inline-images/image002_2.png?itok=5K7eFj-m 1x" media="all and (min-width: 480px)" type="image/png"></source><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_desktop/public/inline-images/image002_2.png?itok=5K7eFj-m 1x, https://zh-prod-1cc738ca-7d3b-4a72-b792-...k=5K7eFj-m 2x" media="all and (min-width: 1024px)" type="image/png"></source><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_desktop/public/inline-images/image002_2.png?itok=5K7eFj-m 1x" media="all and (min-width: 768px)" type="image/png"></source><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_mobile/public/inline-images/image002_2.png?itok=gE1KVVEH 1x" type="image/png"></source><!--[if IE 9]></video><![endif]--><img data-entity-type="file" data-entity-uuid="257934c3-5311-4d1a-91bd-bd7b0dd3410a" data-responsive-image-style="inline_images" height="304" width="500" src="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/inline-images/image002_2.png" alt="" typeof="foaf:Image" /></picture></a></p>

<p><strong>S&P CALL WING GOES ‘BID,’ INDICATING THAT THE MARKET IS SCARED OF THE ‘RIGHT TAIL’:</strong>  <em>See the three-day progression of the options-implied price distribution—with the daily move from Tuesday (green) to Wednesday (light blue) to Thursday (pink) <strong>shifting further to the right, pulled via demand for higher strikes.</strong></em></p>

<p><a data-image-external-href="" data-image-href="/s3/files/inline-images/image003_2.png?itok=rQqhYxcA" data-link-option="0" href="https://www.zerohedge.com/s3/files/inline-images/image003_2.png?itok=rQqhYxcA"><picture><!--[if IE 9]><video style="display: none;"><![endif]--><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_desktop/public/inline-images/image003_2.png?itok=IkgPUIEt 1x" media="all and (min-width: 1280px)" type="image/png"></source><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_desktop/public/inline-images/image003_2.png?itok=IkgPUIEt 1x" media="all and (min-width: 480px)" type="image/png"></source><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_desktop/public/inline-images/image003_2.png?itok=IkgPUIEt 1x, https://zh-prod-1cc738ca-7d3b-4a72-b792-...k=IkgPUIEt 2x" media="all and (min-width: 1024px)" type="image/png"></source><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_desktop/public/inline-images/image003_2.png?itok=IkgPUIEt 1x" media="all and (min-width: 768px)" type="image/png"></source><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_mobile/public/inline-images/image003_2.png?itok=rQqhYxcA 1x" type="image/png"></source><!--[if IE 9]></video><![endif]--><img data-entity-type="file" data-entity-uuid="e0e841f1-3e54-4c50-8a0b-b22f85d36d19" data-responsive-image-style="inline_images" height="305" width="500" src="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/inline-images/image003_2.png" alt="" typeof="foaf:Image" /></picture></a></p>

<p><a data-image-external-href="" data-image-href="/s3/files/inline-images/image004_1.png?itok=YQd-XAjc" data-link-option="0" href="https://www.zerohedge.com/s3/files/inline-images/image004_1.png?itok=YQd-XAjc"><picture><!--[if IE 9]><video style="display: none;"><![endif]--><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_desktop/public/inline-images/image004_1.png?itok=qiP6lkWS 1x" media="all and (min-width: 1280px)" type="image/png"></source><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_desktop/public/inline-images/image004_1.png?itok=qiP6lkWS 1x" media="all and (min-width: 480px)" type="image/png"></source><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_desktop/public/inline-images/image004_1.png?itok=qiP6lkWS 1x, https://zh-prod-1cc738ca-7d3b-4a72-b792-...k=qiP6lkWS 2x" media="all and (min-width: 1024px)" type="image/png"></source><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_desktop/public/inline-images/image004_1.png?itok=qiP6lkWS 1x" media="all and (min-width: 768px)" type="image/png"></source><source srcset="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/styles/inline_image_mobile/public/inline-images/image004_1.png?itok=YQd-XAjc 1x" type="image/png"></source><!--[if IE 9]></video><![endif]--><img data-entity-type="file" data-entity-uuid="5304eee2-4dc5-40f4-ad4e-29d76865ff40" data-responsive-image-style="inline_images" height="303" width="500" src="https://zh-prod-1cc738ca-7d3b-4a72-b792-20bd8d8fa069.storage.googleapis.com/s3fs-public/inline-images/image004_1.png" alt="" typeof="foaf:Image" /></picture></a></p>

<p>McElligott highlights the following crucial CTA Pivot Points across asset-classes...</p>

<ul type="disc"><li>
<h3><u>Equities</u></h3>

<ul type="circle"><li>
<p>[b/s is 0.06% away] <strong>Euro Stoxx 50, currently 100.0% long, </strong>[3406.0], selling under 3403.85 (-0.06%) to get to 69% , more selling under 3375.27 (-0.90%) to get to -92% , flip to short under 3375.62 (-0.89%), max short under 3080.76 (-9.55%)</p>
</li>
<li>
<p>[b/s is 0.53% away] <strong>Russell 2000, currently -91.6% short, </strong>[1559.9], more selling under 1543.52 (-1.05%) to get to -96% , max short under 1543.36 (-1.06%), buying over 1568.14 (+0.53%) to get to -76% , more buying over 1615.24 (+3.55%) to get to 20% , flip to long over 1615.24 (+3.55%), max long over 1615.39 (+3.56%)</p>
</li>
<li>
<p>[b/s is 0.53% away] <strong>Nikkei 225, currently -91.6% short, </strong>[21050.0], more selling under 20939.24 (-0.53%) to get to -96% , max short under 20937.14 (-0.54%), buying over 22038.1 (+4.69%) to get to -11% , more buying over 22226.64 (+5.59%) to get to 84% , flip to long over 22040.21 (+4.70%), max long over 22228.75 (+5.60%)</p>
</li>
<li>
<p>[b/s is 0.67% away] <strong>S&P 500, currently 68.8% long, </strong>[2878.6], <strong>more buying over 2898.02 (+0.67%) to get to 84% , max long over 2898.31 (+0.68%),</strong> <strong>selling under 2740.71 (-4.79%) to get to 65% , more selling under 2691.48 (-6.50%) to get to -20% , flip to short under 2691.48 (-6.50%), max short under 2691.48 (-6.50%)</strong></p>
</li>
<li>
<p>[b/s is 1.02% away] <strong>NASDAQ 100, currently 68.8% long, </strong>[7600.25], <strong>more buying over 7677.6 (+1.02%) to get to 84% , max long over 7678.36 (+1.03%),</strong> <strong>selling under 7005.86 (-7.82%) to get to 65% , more selling under 6778.24 (-10.82%) to get to -20% , flip to short under 6778.24 (-10.82%), max short under 6778.24 (-10.82%)</strong></p>
</li>
<li>
<p>[b/s is 3.02% away] <strong>HangSeng CH, currently -100.0% short, </strong>[10756.0], buying over 11080.31 (+3.02%) to get to -96% , more buying over 11743.8 (+9.18%) to get to -76% , flip to long over 11776.38 (+9.49%), max long over 11776.38 (+9.49%)</p>
</li>
</ul></li>
<li>
<h3><u>Bonds</u></h3>

<ul type="circle"><li>
<p>[b/s is 0.14 away] <strong>JPY_10Y, currently 100.0% long, </strong>[152.83], selling under 152.69 (-0.14) to get to 45% , more selling under 151.02 (-1.81) to get to -45% , flip to short under 151.03 (-1.80), max short under 150.45 (-2.38)</p>
</li>
<li>
<p>[b/s is 0.205 away] <strong>ED4, currently 100.0% long, </strong>[97.785], selling under 97.58 (-0.20) to get to -100% , more selling under 97.58 (-0.20) to get to -100% , flip to short under 97.6 (-0.19), max short under 97.58 (-0.20)</p>
</li>
<li>
<p>[b/s is 1.3 away] <strong>GBP_10Y, currently 100.0% long, </strong>[128.61], selling under 127.31 (-1.30) to get to 45% , more selling under 124.99 (-3.62) to get to -45% , flip to short under 125.0 (-3.61), max short under 122.19 (-6.42)</p>
</li>
<li>
<p>[b/s is 1.9619 away] <strong>USD_10Y, currently 100.0% long, </strong>[124.421875], selling under 122.46 (-1.96) to get to 45% , more selling under 119.33 (-5.09) to get to -45% , flip to short under 119.34 (-5.08), max short under 118.6 (-5.82)</p>
</li>
<li>
<p>[b/s is 2.95 away] <strong>EUR_10Y, currently 100.0% long, </strong>[166.95], selling under 164.0 (-2.95) to get to 45% , more selling under 159.0 (-7.95) to get to -45% , flip to short under 159.01 (-7.94), max short under 154.51 (-12.44)</p>
</li>
</ul></li>
<li>
<h3><u>Commods</u></h3>

<ul type="circle"><li>
<p>[b/s is 0.69% away] <strong>Gold, currently 89.7% long, </strong>[1286.2], more buying over 1323.47 (+2.90%) to get to 95% , max long over 1323.6 (+2.91%), selling under 1277.34 (-0.69%) to get to 61% , more selling under 1238.08 (-3.74%) to get to -33% , flip to short under 1238.08 (-3.74%), max short under 1237.95 (-3.75%)</p>
</li>
<li>
<p>[b/s is 1.29% away] <strong>Copper, currently -100.0% short, </strong>[6089.0], buying over 6167.34 (+1.29%) to get to -33% , more buying over 6528.75 (+7.22%) to get to 61% , flip to long over 6167.95 (+1.30%), max long over 6749.77 (+10.85%)</p>
</li>
<li>
<p>[b/s is 1.43% away] <strong>WTI, currently 33.2% long, </strong>[62.87], more selling under 54.72 (-12.96%) to get to -33% , flip to short under 54.72 (-12.96%), max short under 54.71 (-12.98%), buying over 63.77 (+1.43%) to get to 61% , more buying over 63.77 (+1.43%) to get to 90% , max long over 65.09 (+3.53%)</p>
</li>
</ul></li>
<li>
<h3><u>FX</u></h3>

<ul type="circle"><li>
<p>[b/s is 0.01% away] <strong>USDJPY, currently -1.5% short, </strong>[109.935], more buying over 109.9469 (+0.01%) to get to 49% , flip to long over 109.9469 (+0.01%), max long over 109.9579 (+0.02%), selling under 108.0239 (-1.74%) to get to -50% , more selling under 108.013 (-1.75%) to get to -100% , max short under 108.013 (-1.75%)</p>
</li>
<li>
<p>[b/s is 0.31% away] <strong>GBPUSD, currently -100.0% short, </strong>[1.2792], buying over 1.2832 (+0.31%) to get to -49% , more buying over 1.3632 (+6.57%) to get to 50% , flip to long over 1.2833 (+0.32%), max long over 1.3632 (+6.57%)</p>
</li>
<li>
<p>[b/s is 1.62% away] <strong>EURUSD, currently -100.0% short, </strong>[1.1178], buying over 1.1359 (+1.62%) to get to -49% , more buying over 1.2052 (+7.82%) to get to 50% , flip to long over 1.136 (+1.63%), max long over 1.2052 (+7.82%)</p>
</li>
<li>
<p>[b/s is 2.05% away] <strong>USDCNH, currently 100.0% long, </strong>[6.9148], selling under 6.773 (-2.05%) to get to -1% , more selling under 6.4014 (-7.42%) to get to -100% , flip to short under 6.773 (-2.05%), max short under 6.4014 (-7.42%)</p>
</li>
<li>
<p>[b/s is 2.92% away] <strong>AUDUSD, currently -100.0% short, </strong>[0.69055], buying over 0.7107 (+2.92%) to get to -49% , more buying over 0.7511 (+8.77%) to get to 50% , flip to long over 0.7107 (+2.92%), max long over 0.7511 (+8.77%)</p>
</li>
</ul></li>
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