🌅 Good Morning, Reader!

This is the only July 22nd of 2024 we get, so let's make it a great one.

Here's what we will cover today:

1. SPX Prior Day Action (through $em and $volm commands)
2. Pre-Market SPX 0DTE & Full Complex Structure
3. Market Trend Model
4. Proprietary Scans
5. Mag7 Stocks

Time is money. Let's get into today's premarket prep.

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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 Recap (Prior Day)

Below is a replay GIF of $SPX spot price (5 minute bars), gamma levels (green/red horizonal bars) as well as our key levels (PTrans, +GEX, etc.) throughout the day.

Below is our $volm command, which displays the "centroid" of put and call volume for each 15 minute slice of yesterday's session. What is important to observe intraday with this chart is trend of the call and put centroids.

Paired with our Market Trend Model (below) intraday, it's powerful to see how both the call and put centroids moved throughout the session along with the MTM and spot price.

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✍️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.

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

Market Sentiment

• Delta Condition: ITM Puts (Above Spot) | OTM Puts (Below Spot)
• Gamma Condition: Put Dominated (-41k Net GEX)

Transition Zones (TZ)

• GEX: 5525/5530
• DEX: 5525/5530
• Drunken Sailor: (i) 5465/5545 (ii) 5545/5600

Key Levels

• Upside: +GEX at 5540| COI at 5540
• Downside: -GEX at 5500

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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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 either 5540 or 5545, depending on whether the upper level is the call side of an Iron Condor (IC) or not. It is most probable that COI is 5545 (long leg of IC) and we are short 5540 (short leg of IC).

0DTE POI is either 5465 or 5470, depending on whether the lower level is the put side of an IC or not. Again, it is most probable that POI is 5470 (long leg of IC).

Utilize the $vold command today and watch for large transactions at 5465/70 and 5540/45. These levels are where the implied iron condor is contained within the structure.
​NOTE: Within the Discord, we walk through multiple scenarios for when the various legs of the IC are closed out and the impact on structure.

As an example:

• If the IC holder does not like the situation where their short call leg is challenged and ITM, THEN they'll close the short call for a loss, leaving the long call (5545) in place. This removes a significant amount of negative delta from the complex, making our book longer, the Dealer's book shorter, and to hedge flat, the Dealer BUYS the market or correlated instruments. This action could push price up into the upper Drunken Sailor range.

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. Then execute from there.

✍️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.

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

Market Sentiment

• Delta Condition: ITM Puts (Above Spot) | ITM Calls (Below Spot)
• Gamma Condition: Put Dominated (-98k Net GEX)

Transition Zones (TZ)

• GEX: 5530/5535
• DEX: 5530/5610
• Drunken Sailor: Generally not applicable to all-expires

Key Levels

• Upside: +GEX at 5540 | COI at 5600
• Downside: -GEX at 5500

Excerpt from our commentary within the discord:

+Trans (GEX) is automatically drawn via our algorithm and indicated at 5535, with put-dominated strikes above this strike.

The significance here is that by definition, -GEX and +GEX form the boundaries of where +Trans (GEX) must lie.

If we look closely at the structure ('landscape' visualization from web app shown below), we can make an argument that 5610 could also be +Trans (GEX) if we didn't consider the constraints of +GEX.

DEX on the other hand has no such restrictions and resides at 5610.

All the above is to say that we see there being a large range for GEX AND DEX today, indicative of a wide and loose structure which suggests a continuation of uncertainty.

✍️Market Trend Model

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

✍️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 a bullish structure.

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

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 19 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.

NOTE: Only the full complex time slice has been provided.

$AAPL

$TSLA

$MSFT

$NVDA

$AMZN

$GOOGL

$META

$AMD

🎉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.

🎓Education

There are currently 2 courses within the GammaEdge ecosystem:

The GammaEdge Framework

This is our flagship educational course designed to significantly speed up the learning curve for new members.

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

1. Market Sentiment
2. Market Trend
3. Market Structure

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

Take Me to Lesson 1!

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PTrans2PGEX Email Course

GammaEdge's bread and butter strategy is called 'PTrans2PGEX' and is based off two of our core levels, which are (you guessed it!) PTrans and PGEX.

The beauty of this strategy is it's 100% mechanical and supported by rigorous backtesting. We also run this strategy live in the Discord with entries and exits posted, which members have access to.

To learn more about the strategy, including a FREE course, use the link below to access:

Teach Me The Strategy!

🚨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.