🌅 Good Morning, Reader!

This is the only July 3nd of 2024 we get, so let's make it a great one.

Here's what we will cover today:

1. Pre-Market $SPX 0DTE & Full Complex Structure
2. Market Structure Heatmaps
3. Market Trend Model
4. Proprietary Scans
5. Mag7 Stocks

Time is money. Let's get into today's pre-market prep.

PSA: Markets close at 1pm EST today (bond market at 2pm EST).

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P.S. If you are new, please skip to the last section below for any overview of the GammaEdge 3-step framework and well as definitions of key terms unique to GammaEdge.

✍️SPX 0DTE Levels (Today)

PSA: We don't care if you are a day trader, swing trader, or position trader. Every trade begins as a day trade. You cannot willy-nilly enter the SPX with the hope that the trade will work; you need to understand the broad structure and enter when the conditions are favorable for the direction of your thesis (or lack of direction if you think we're stalled).

If you do not understand the structure when you open a trade, you have no edge as to whether the trade will work in your favor or against you.

🔄GEX Transition Zone: 5495/5500*

♻️DEX Transition Zone: 5495/5500*

⛵️Drunken Sailor Zone: n/a --> there is no range of low net open interest strikes in the complex today.

📈Upside Levels: 5525 (+GEX) & 5525 (COI)*

📉Downside Levels:: 5495 (-GEX)*

*Stay alert to intraday level changes using: 1. WebApp 2. $em command ($em spx) 3. $s command ($s spx 0 0) 4. $netstat spx

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💡Other Notes

• Gamma Condition: Call Dominated (same from prior day)

• Delta Condition: Above Spot Price: ITM Puts | Below Spot Price: ITM Calls

• Be cognizant of price in relation to transition zone. Are we above or below? Create your If/Then scenarios. As an example, if price moves through [x], then what? If price rejects [x], then what? You should have your game plan documented before the market opens! For there, you just need to execute.

Excerpt from our commentary within the discord:

0DTE COI is 5525 and is coincident with +GEX. This is the near-spot maximum convexity point for the day.

0DTE -GEX is 5495. We note the relative strength of 5490 but part of the delay this morning was trying to find if either of these is short. We do not see evidence that these were placed as short trades, e.g., part of a downside vertical of >6000 contract size, so we can't opine on either except to say it doesn't matter. IF we lose 5500 we could pin to either 5490/95 due to the short position. Below this and we think we could see a change in sentiment.

Always remember that after we move through significant gamma, we risk the potential of unwinding gamma at a faster rate as time advances.

Remember to create your IF/Then Statements!

GammaEdge's full commentary & analysis is provided in the discord

✍️SPX Full Complex (Today)

Below is the $SPXP output for the full PM settlement. The purpose of this view isn't a focus on trading -- it's to get an overall view of the SPX PM structure, which is the most liquid, most speculated structure in the market.

Market Sentiment

• Gamma Condition: Call Dominated (same from prior day)

• Delta Condition: Above Spot Price: OTM Calls | Below Spot Price: ITM Calls

Transition Zones (TZ)

• GEX: 5495/5500

• DEX: 5470/5500

• Drunken Sailor: n/a outside the 0DTE expiration

Key Levels

• +GEX at 5500 and COI at 5550 | -GEX at 5495

Putting It All Together

Excerpt from our commentary within the discord:

We note the strong jump in NetGEX for the entire complex (it was 15k yesterday premarket and now at 89k). This is bullish on a day-over-day basis and reflects an increase in long calls and/or decrease in long puts.

COI is unchanged at 5500. It is important to note that in the all-expiries view, there is no time component to this, so this value, in isolation, is the UNINFORMED view of the market of where it wants to go. There is ZERO guarantee we're going there because of this, as the greeks are spread completely across the calendar and you have no information about the importance of this strike in regarding to the shorter time frames.

Remember to create your IF/Then Statements!

GammaEdge's full commentary & analysis is provided in the discord

✍️Market Trend Model

GammaEdge's full commentary & analysis is provided in the discord

✍️Market Structure Heatmaps

As the section heater points out, the graphics below are a heatmap. There are 3 sets of boxes for each ticker presented, which represent:

• Delta State: Green means call dominated above/below spot price, red means put dominated above/below spot price, while yellow & orange are mixed states. We should take note where we see state changes day over day and if that change persists.

• GEX Ratio: Measure of cumulative call gamma / cumulative put gamma. The thing to note here is if the GEX ratio is trending higher or lower.

• Delta Balance: A measurement of deltas in the structure. It is bounded between -1 and 1 so it acts an on oscillator. Like the GEX Ratio, are we seeing an increase or decrease in this ratio?

Using the combination of the 3 factors above, we can quickly visualize sentiment in the market as a whole. By this we mean, are we see a shift in the majority from green to red or vice versa?

✍️GammaEdge Scan Results

NOTE: For the sake of completeness and performing a consistent routine, we are providing both call and put dominated scans. However, we are not representing to go long or short any of these.

CallDomDel: Returns stocks that are call dominated below and above spot price, which are signatures of bullish structures.

PutDomDel: Returns stocks that are put dominated below and above spot price, which are signatures of bearish structures.

Other Scans Offered

1. Zero2Ptrans: Returns stocks that closed above ZeroGex but below PTrans.
2. Ptrans2PGex: Returns stocks that closed above PTrans but below +GEX.
3. We offer 17 custom scans in total

✍️Mag7 Single Stock Review

As we did with SPX above, walk through the 3-step framework for each of the stocks. Identify (i) key transition zones, (ii) key levels of reference, and (iii) gamma/dela conditions (sentiment). Feel free to email us with any questions as you perform your own self-analysis.

$AAPL

$TSLA

$MSFT

$NVDA

$AMZN

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$GOOGL

$META

🎓Education

We just revamped member onboarding with our new flagship educational course called The GammaEdge Framework.

The main feedback from our beta testers has been this:

This course will significantly speed up the learning curve for new members, where you’ll learn all about (i) how we view the markets and (ii) how to use our tool in an ACTIONABLE manner.

Here is a 3-minute video covering what you will learn about, which revolves around our 3 pillars:

1. Market Sentiment: Discover how to identify who is winning the battle between call and put speculators above and below the spot price.
2. Market Trend: Understand market momentum—whether it’s moving higher, lower, or sideways—using our Market Trend Model.
3. Market Structure: Learn to identify key structural levels derived from the options market structure to use in your trading plan.

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You can review lesson 1 for free using the link below:

Take Me to Lesson 1!

🎉Thanks for Reading!

If you have feedback for us on ways to make our newsletter more valuable for you each morning, please let us know! Reply to this email with your thoughts.

Best of luck out there today.

GE Team🤝

P.S. If you find this newsletter valuable, we'd appreciate you sharing it with a friend or colleague.

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DISCLAIMER: This newsletter is strictly educational and is not investment advice or a solicitation to buy or sell any assets or to make any financial decisions. Please be careful and do your own research.

🚨GammaEdge Intro (For New Folks!)

Framework

At GammaEdge, we simplify the options markets for you. We do this through our 3-step framework which focuses on market trend, sentiment, and structure.

Below is the cliff notes version of that framework, which can be applied to any underlying (e.g., SPX or AAPL) and any expiration (e.g., 0DTE).

1) Identify Trend: Is price trend of the general market higher, lower, or choppy? Are we see breadth expand or deteriorate? How about significant buying and selling?

2) Identify Sentiment: Are call (bullish) or put (bearish) speculators in control of the options structure above and below spot price?

3) Identify Structure: Where are the key levels in the options structure where we see a shift to bullish control (through PTrans) or bearish control (through NTrans)? Or is spot price in between transition levels (i.e., an area of minimal dealer influence)?

What are the major strikes being targeted by call and put speculators? Along with the PTrans and NTrans, these levels have multiple uses including ranges for the day and trade entries/exits.

Bonus: Identify Other Relevant Changes: Has there been shifts in key levels or the transition zones day over day? Have call or put speculators started to dominate the complex to a greater degree? Understanding the changes that are occurring under the hood and where those changes are occurring is just as important as the current market structure itself.

Terminology

1. +GEX: largest call-dominated/positive gamma exposure strike in the entire option complex.
2. -GEX: largest put-dominated/positive gamma exposure strike in the entire option complex.
3. COI: strike price with the largest call open interest in the entire option complex.
4. POI: strike price with the largest put open interest in the entire option complex.
5. PTrans: top of the GEX transition zone where this strike and all others above have net positive gamma (call dominated) for the entire option complex.​
6. NTrans: bottom of the GEX transition zone where this strike and all others below have net negative gamma (put dominated) for the entire option complex.​
7. DEX/GEX Transition Zone: Area between PTrans and NTrans (DEX TZ can sometimes extended beyond PTrans and NTrans). We expect choppy price action within this zone. This is a low-exposure area regarding gamma and delta change. Dealers feel minimal pressure inside this zone, and we believe that market transactions OFF THE 0DTE drive price behavior if we are in this area.
8. Drunken Sailor Zone: Zone where market volume intraday overwhelms the structure, as opposed to GEX/DEX zones, which are derived from the structure itself.