Delta and Gamma Indicator

SP:SPX   S&P 500 Index
Putting the finishing touches on a delta / gamma indicator.
Only outstanding issues is to complete is fixed strike implied volatility.

Check FAQ I created here if you have questions about it.

The indicator can be configured to reset on the 1st, 2nd or 3rd last business day of the month.

The first new day after the reset the new strikes will be calculated.

The purpose is to see a visual representation of hedged equity funds put spread collar history.

Hedged Equity Fund
Reset: EOM Dec, Mar, Jun, Sept
Mutual Fund: JHEQX
Assets: 15 Billion
Contracts: 44.5k

Here is the main equity fund collar strategies history.

This fund was established in DEC 2013 and grown into one of the largest managed equity funds.

I talk a lot about how this fund creates a pinning effect to the market around quarterly expiry.

With the history now in full view, you can clearly see a recurring pattern as the largest index in the world follows a put collar through zones of support and volatility.

Hedged Equity 2 Fund
Reset: EOM Jan, Apr, Jul, Oct
Mutal Fund: JHQDX
Assets: 5.7 Billion
Contracts: 14k

This funds reset frequently finds nearly the exact same close from the previous quarter.

Hedged Equity 3 Fund
Reset: EOM Feb, May, Aug, Nov
Mutal Fund: JHQTX
Assets: 2.5 Billion
Contracts: 7k

Not as many contracts but still provide short term support and resistance.


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