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New feature: SPX naive gamma exposure model

Hey everyone! I have some exciting news. Excluslively for Traderade members you'll be able to access SPX gamma exposure charts based on a naive model of the options chain from CBOE.

It assumes that put and call open interest is bought, which in most cases it is. The data is updated every 20 minutes on trading days. Be sure to bookmark the link for later or find it under the Members section.

These new charts can be helpful to monitor this for at least ideas of important levels and how dealer hedging may change based on the current pricing of the S&P 500 index.

The chart below shows net gamma exposure, based on puts vs calls so we can see where exposure is concentrated to one side, like puts, or another, such as calls. Very large levels of exposure can act as support or resistance (depending on whether price is above or below respectively). Noteworthy levels below include 3700, 3800, 3850, and 3900.

The next chart shows the gross gamma exposure, which is helpful as we can see exposure across both puts and calls. Very large areas of exposure can act as magnets if price gets very close. But when price is rejected or moves beyond these levels it can cause some extra momentum. 4,000 stands out pretty significantly, and it has been a key level for the entire month of March so far.

The final chart shows gamma exposure based on the naive model. The gamma flip level changes based on collective gamma exposure (as seen above). In the chart below it is calculated at 4,048, with spot at 3,870. We can see that at this level we deeply in negative gamma territory, with an implied $40.34B of selling pressure for every 1% move down, and $40.34B of buying pressure for every 1% move up.

This is the first of many other features we're adding. Others we're currently working on are headline news (beta), an economic calendar, and a number of customized charts and indicators. We want to maximize the value we offer all of our members. Stay tuned for more updates!


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