Macro Theme:
Key dates ahead:
- 9/30: Quarterly OPEX
9/19: We remain bullish with SPX >6,600, but we will be adding put spreads and/or put flies for expirations near 9/30, playing a potential move to the massive 6,505 JPM strike.
9/18: We look for the rally to continue into Friday OPEX, and then look for a correction next week. 9/30 is circled as potentially a more destabilizing expiration.
Key SG levels for the SPX are:
- Resistance: 6,700, 6,740
- Pivot: 6,600 (bearish <, bullish >)
- Support: 6,670, 6,650, 6,600, 6,500
Opt-in to receive FlowPatrol™ — our daily AM report detailing the most significant options trades and their impact on the stock market
Stay informed of how options flow evolves each day: Opt in to receive FlowPatrol daily
Founder’s Note:
Futures are up 20bps after yesterday’s mild decline.
Per the PM note, we saw vols mark lower into yesterday’s decline – a signal of “stock up, vol up” leading to overheated short term price action.
SPX IV’s are now about 1/2 vol point lower than last night. Good news for bulls…
… as is the positive gamma that remains thick >6,600.
Along this theme, the stuff that was down the most yesterday seemed to have the highest relative call IV’s into the session.
ORCL chief among them, which was at $320 overnight on Tuesday, and closed down ~5% to $313. As you can see below, its not all that interesting of a short below 300, and one could frame this all as call IV needs to cool as the stock re-bases around 300. While calls were too expensive (and may still be today) that negative gamma to the upside is ultimately not a bad bullish look…
|
|
/ESZ25 |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$6712.26 |
$6656 |
$663 |
$24580 |
$598 |
$2457 |
$243 |
|
SG Gamma Index™: |
|
0.831 |
-0.294 |
|
|
|
|
|
SG Implied 1-Day Move: |
|
0.63% |
0.63% |
|
|
|
|
|
SG Implied 5-Day Move: |
|
1.81% |
|
|
|
|
|
|
SG Implied 1-Day Move High: |
|
After open |
After open |
|
|
|
|
|
SG Implied 1-Day Move Low: |
|
After open |
After open |
|
|
|
|
|
SG Volatility Trigger™: |
$6721.26 |
$6665 |
$662 |
$24490 |
$598 |
$2455 |
$242 |
|
Absolute Gamma Strike: |
$6056.26 |
$6000 |
$660 |
$24700 |
$600 |
$2450 |
$240 |
|
Call Wall: |
$6756.26 |
$6700 |
$670 |
$24700 |
$600 |
$2500 |
$250 |
|
Put Wall: |
$6556.26 |
$6500 |
$655 |
$24410 |
$595 |
$2390 |
$232 |
|
Zero Gamma Level: |
$6674.26 |
$6618 |
$662 |
$24517 |
$597 |
$2451 |
$245 |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
1.106 |
0.777 |
1.268 |
0.836 |
0.914 |
0.768 |
|
Gamma Notional (MM): |
$293.347M |
‑$600.996M |
$18.058M |
‑$241.202M |
‑$9.934M |
‑$285.539M |
|
25 Delta Risk Reversal: |
-0.045 |
-0.028 |
-0.053 |
0.00 |
-0.024 |
-0.006 |
|
Call Volume: |
617.20K |
1.342M |
11.322K |
702.933K |
33.828K |
376.644K |
|
Put Volume: |
1.075M |
2.322M |
16.483K |
1.56M |
50.978K |
1.017M |
|
Call Open Interest: |
6.998M |
4.987M |
73.536K |
3.322M |
242.908K |
3.228M |
|
Put Open Interest: |
12.772M |
12.395M |
95.603K |
5.797M |
433.885K |
7.75M |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [6000, 6700, 6600, 6650] |
|
SPY Levels: [660, 665, 640, 655] |
|
NDX Levels: [24700, 24710, 24400, 24410] |
|
QQQ Levels: [600, 590, 595, 585] |
|
SPX Combos: [(6976,72.66), (6950,86.02), (6923,77.81), (6903,96.25), (6877,83.04), (6850,95.65), (6823,91.11), (6797,99.14), (6777,97.28), (6757,87.07), (6750,97.81), (6743,80.32), (6737,93.68), (6730,84.85), (6723,97.53), (6717,90.93), (6710,91.78), (6704,89.13), (6697,99.75), (6690,91.39), (6684,92.97), (6677,96.33), (6670,80.15), (6657,78.76), (6644,83.31), (6637,86.04), (6624,83.95), (6617,96.38), (6610,84.05), (6604,84.44), (6597,92.83), (6590,72.98), (6584,76.95), (6577,97.85), (6564,81.96), (6550,83.87), (6537,71.75), (6524,86.08), (6517,78.17), (6504,91.52), (6497,95.04), (6477,80.70), (6451,81.82), (6424,84.42), (6397,90.06), (6351,82.88)] |
|
SPY Combos: [667.51, 670.17, 672.17, 677.51] |
|
NDX Combos: [24703, 24408, 24236, 24261] |
|
QQQ Combos: [604.61, 597.98, 596.18, 608.22] |