Futures are markedly higher to 4075. Volatility estimates remain the same as the past several days: 1.2% for SG estimates and a VIX implied 1.75% move. Resistance is at 4095 followed by 4115 (SPY 410). Support shows at 4015 (SPY 400).
Note that Powell speaks today at 2pm ET, which could drive some afternoon volatility.
There doesn’t seem to be a clear news item which we can attribute to this mornings rally, but we’ve felt that the put-heavy options positioning provided a setup for a strong market rally (see yesterdays note). There is also a VIX expiration tomorrow AM, which could drive some additional volatility selling.
This setup feels a lot like that of late April in which the market launched higher into VIX expiration and a chunky April OPEX. Below is a plot of that timeline, and as you can see the VIX dropped sharply (+ strong S&P rally) on Tuesday the 19th leading to a VIX low on the 9AM Wednesday VIX settlement. Markets pinned on Thursday, and sharply reverted all their gains on OPEX Friday (full analysis here).

Having Powell speak today throws a curveball at this comparison. However, despite Powell today, there is a similar implied volatility response to that of April VIX-exp, too. Our risk-reversal indicator jumped from bearish readings near -10 up to -5 on expiration day, and a similar move is happening now. Readings up near -5 generally occur with markets that have a lot of call positions which is not what we have now. We think this skew change is therefore being driven by bullish positioning into OPEX.

Even though markets are looking to start with a strong >1% rally, we caution that this move up should be seen as a short covering rally. It could extend into Friday, but it may be subject to quick and violent reversals.
This is because we believe this rally is being driven by the decline in implied volatility and decay of large put positions which leads to the buy-back of short hedges (futures and/or stocks). Markets can quickly revert once this expiration-driven flow subsides.
Further, this OPEX will clear out some of the “max put” positioning which clears the way for lower-lows. This does not mean the market has to trade lower, its just that we think there is a new, lower bound should markets decline.
Please join us today at 2pm ET for our monthly talk with Imran Lakha, where we’ll be talking about this options positioning into OPEX. Watch live, here.
SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
---|---|---|---|---|---|
Ref Price: | 4003 | 4003 | 400 | 12249 | 298 |
SpotGamma Imp. 1 Day Move: Est 1 StdDev Open to Close Range |
1.21%, | (±pts): 48.0 | VIX 1 Day Impl. Move:1.74% | ||
SpotGamma Imp. 5 Day Move: | 2.94% | 4021 (Monday Ref Px) | Range: 3904.0 | 4140.0 | ||
SpotGamma Gamma Index™: | -1.76 | -1.64 | -0.34 | -0.01 | -0.10 |
Volatility Trigger™: | 4350 | 4350 | 445 | 13600 | 328 |
SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 400 | 14000 | 300 |
Gamma Notional(MM): | -962.0 | -990 | -1637.0 | -1.0 | -628.0 |
Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
---|---|---|---|---|---|
Zero Gamma Level: | 4297 | 4297 | 0 | 0 | 0 |
Put Wall Support: | 3900 | 3900 | 400 | 11000 | 300 |
Call Wall Strike: | 4800 | 4700 | 480 | 14000 | 312 |
CP Gam Tilt: | 0.56 | 0.58 | 0.45 | 0.74 | 0.56 |
Delta Neutral Px: | 4280 | ||||
Net Delta(MM): | $1,791,557 | $1,751,066 | $188,094 | $30,240 | $125,851 |
25D Risk Reversal | -0.06 | -0.07 | -0.08 | -0.09 | -0.09 |
Call Volume | 390,424 | 522,796 | 1,296,945 | 6,023 | 628,564 |
Put Volume | 945,443 | 956,372 | 1,738,659 | 5,991 | 718,429 |
Call Open Interest | 5,831,941 | 5,732,344 | 6,995,602 | 34,257 | 4,846,847 |
Put Open Interest | 10,498,248 | 10,367,319 | 10,741,168 | 32,655 | 6,887,010 |
Key Support & Resistance Strikes: |
---|
SPX: [4200, 4100, 4000, 3900] |
SPY: [410, 400, 390, 380] |
QQQ: [310, 305, 300, 290] |
NDX:[15000, 14000, 13500, 13000] |
SPX Combo (strike, %ile): [3895.0, 3995.0, 3947.0, 4095.0, 3919.0] |
SPY Combo: [389.4, 399.41, 394.61, 409.41, 391.81] |
NDX Combo: [12310.0, 11906.0, 12102.0] |







