Futures have popped higher to 3835 as we enter expiration Friday. We look for 1% ranges again today, with support at 3800 at 3825. Resistance shows at 3850 then 3900.
In regards to today’s expiration there is not much for SPX/QQQ, but 30% of SPY gamma expiring. Most of this is concentrated <=380 SPY as shown below. Further 380 is quite strong, and a line which should be considered support for this session. We do not think this expiration provides much buying power, but offers more of an unpinning of the 380/3800 area for next week.
Further, we see the VIX breaking down under 26 this morning. We’ve flagged VIX support and resistance at 25-30 based on large open interest for 7/20 VIX expiration. Therefore we appear to be compressing up into the S&P gamma flip level (3825) with VIX entering a range with large put positions. In other words we think the fuel to push materially higher drains off as the SPX moves >3825 and VIX <25.
One cannot deny that there is a bid to the S&P and/or a demand to sell vol when the market tests the 3750 area. As mentioned above this expiration will help to pull some of that 380/3800 stickiness, and VIX expiration may lead to a reset of the VIX 25-30 range, too. Further, the closer we get to 7/27 FOMC the more of a bid there should be in vol.
These are the reasons we’ve been looking for weakness into the second half July. If markets are above the Vol Trigger level (3825) then our models are compelled to give bulls the edge, however we continue to see <3800 as the area where risk increases, particularly after Tuesday (VIX exp).
One note here, if you recall back to April and May VIX expirations we did get rather violent 1 day rallies in the S&P, and we are on watch for that again on Tuesday. Its a bit of a similar VIX exp setup here – and you may recall that both of those VIX-exp rallies faded the next day. You can review that report here.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 3789 | 3801 | 377 | 11765 | 286 |
| SpotGamma Imp. 1 Day Move: Est 1 StdDev Open to Close Range |
1.22%, | (±pts): 46.0 | VIX 1 Day Impl. Move:1.66% | ||
| SpotGamma Imp. 5 Day Move: | 2.98% | 3899 (Monday Ref Px) | Range: 3783.0 | 4015.0 | ||
| SpotGamma Gamma Indexâ„¢: | -1.08 | -1.09 | -0.31 | -0.01 | -0.07 |
| Volatility Triggerâ„¢: | 3825 | 3825 | 385 | 12000 | 290 |
| SpotGamma Absolute Gamma Strike: | 3800 | 3800 | 380 | 12500 | 280 |
| Gamma Notional(MM): | -747.0 | -691.97 | -1697.0 | -1.0 | -402.0 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 3946 | 3957 | 0 | 0 | 0 |
| Put Wall Support: | 3700 | 3700 | 370 | 11000 | 280 |
| Call Wall Strike: | 4005 | 4005 | 390 | 11150 | 295 |
| CP Gam Tilt: | 0.69 | 0.64 | 0.48 | 0.93 | 0.75 |
| Delta Neutral Px: | 4021 | ||||
| Net Delta(MM): | $1,550,083 | $1,554,713 | $162,652 | $60,306 | $100,091 |
| 25D Risk Reversal | -0.08 | -0.08 | -0.06 | -0.08 | -0.07 |
| Call Volume | 486,870 | 486,870 | 1,699,541 | 6,476 | 744,862 |
| Put Volume | 871,946 | 871,946 | 2,902,061 | 5,985 | 1,002,464 |
| Call Open Interest | 5,799,676 | 5,799,676 | 7,082,086 | 68,280 | 4,578,641 |
| Put Open Interest | 10,048,084 | 10,048,084 | 11,177,310 | 64,739 | 6,516,805 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4000, 3900, 3850, 3800] |
| SPY: [385, 380, 375, 370] |
| QQQ: [300, 290, 285, 280] |
| NDX:[12500, 12000, 11800, 11150] |
| SPX Combo (strike, %ile): [3688.0, 3737.0, 3790.0, 3703.0, 3752.0] |
| SPY Combo: [367.76, 372.67, 377.96, 369.27, 374.18] |
| NDX Combo: [11530.0] |
