Macro Theme:
Key dates ahead:
- 3/11: CPI
- 3/13: GDP
- 3/18: VIX EXP
- 3/20: OPEX
SG Summary:
Update 3/11: We are now looking to “play the range” of 6,820 (SPY 680) resistance, and 6,600 support. We think a full vol premium contraction is unlikely this week, and negative gamma still dominates the SPX landscape. Both of these factors should keep SPX prices unstable (i.e. no pinning), and so we anticipate large swings over the next several sessions.
3/9: Our updated lens is watching for a 6,500 low into March OPEX 3/20 – Q End OPEX 3/31. Following March, we think the 6,500 floor drops out. To the upside, Vol premiums are very wide, but they are all tied to the Iran premium, which offers conflict vol, plus energy vol, which is apparently bleeding into rate vol. That said, equity vol premiums are ~20 points (massive), and from that we can see some violent market bounces as that premium contracts, but true to our recent word, vol cannot fully revert until conflicts have largely resolved. To put it more plainly: We think rips should be sold until the Iran situation resolves. Largely that seems like “Strait of Hormuz has reopened”.
3/3: Don’t be a hero. A move into the 6,600s are easy from here, and rallies are likely to be quite unstable given the global and lurking credit uncertainty. Neither of those problems are going away in the short term, and that likely keeps a bid in volatility. When we see some form of stability, we will likely drop the Risk Pivot from 6,900 to likely somewhere <=6,800. Not yet.
Key SG levels for the SPX are:
- Resistance: 6,820, 6,900
- Pivot: 6,900 (bearish <, bullish >) updated 2/26
- Support: 6,600, 6,500 (Update 3/9: 6,500 is our Major Low target into March end).
Founder’s Note:
Futures are flat, pinned at 6,800. CPI is at 8:30AM ET.
TLDR: “It ain’t over”. We say this as there remains a lack of short options positions near-the-money, which leaves negative gamma in play. Given that, we don’t want to marry longs into 6,800s nor shorts into 6,600, but instead want to play the 6,600 to 6,800 range. While risks are overall reduced from a few days ago – they still remain elevated from previous weeks.
As you can see on the TRACE map, there is nothing but negative SPX gamma (red) across the board, which suggests large price swings are still in play for today. Further, we still see a healthy vol premium at ~10 points. This is a signal that vega and vanna are large factors in this market as IV expands and contracts. Assuming CPI today passes without issue, we should see some small vol contraction, which may buoy stocks. Conversely, a hot CPI number could press vol initially higher, and that could play with negative gamma to the downside, and a test of 6,700. We still eye 6,500 – 6,600 as the ultimate low into 3/20 & 3/31 OPEX.
As we head into CPI, obviously it’s oil-induced inflation, which is front-of-mind. Accordingly, we are all essentially trading oil here, as higher oil prices will drag on stocks. We are certainly not well schooled in the mechanics of oil prices, but we do think it’s interesting the USO IVs are higher here vs Monday (gray) and Friday (yellow). This, despite the fact that prices are off of their “freak out highs” on Monday (Crude was >119 vs 85 today). Oil vol should come in as prices do – and it’s interesting that vol seems sticky. If the vol can’t come in, it suggests to us that things in Iran are not-so settled, and that’s a risk for stocks.
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All TenTen Capital LLC DBA SpotGamma materials, information, and presentations are for educational purposes only and should not be considered specific investment advice nor recommendations. Futures, foreign currency and options trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing one’s financial security or lifestyle. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results. VIEW FULL RISK DISCLOSURE https://spotgamma.com/model-faq/disclaimer/
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|
/ESH26 |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$6786.3 |
$6781 |
$677 |
$24956 |
$607 |
$2548 |
$253 |
|
SG Gamma Index™: |
|
-1.556 |
-0.545 |
|
|
|
|
|
SG Implied 1-Day Move: |
|
0.67% |
0.67% |
|
|
|
|
|
SG Implied 5-Day Move: |
|
1.50% |
|
|
|
|
|
|
SG Implied 1-Day Move High: |
|
After open |
After open |
|
|
|
|
|
SG Implied 1-Day Move Low: |
|
After open |
After open |
|
|
|
|
|
SG Volatility Trigger™: |
$6835.3 |
$6830 |
$680 |
$24820 |
$608 |
$2600 |
$257 |
|
Absolute Gamma Strike: |
$7005.3 |
$7000 |
$690 |
$25075 |
$600 |
$2600 |
$250 |
|
Call Wall: |
$7105.3 |
$7100 |
$700 |
$25075 |
$630 |
$2670 |
$270 |
|
Put Wall: |
$6705.3 |
$6700 |
$660 |
$24000 |
$600 |
$2550 |
$250 |
|
Zero Gamma Level: |
$6798.3 |
$6793 |
$686 |
$24706 |
$611 |
$2619 |
$268 |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [7000, 6000, 6900, 6800] |
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SPY Levels: [690, 660, 680, 670] |
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NDX Levels: [25075, 25000, 25500, 24000] |
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QQQ Levels: [600, 610, 620, 590] |
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SPX Combos: [(7100,94.62), (7073,77.47), (7060,69.26), (7053,92.21), (7032,77.86), (7026,73.16), (7019,75.51), (7012,82.52), (6998,94.82), (6992,72.12), (6978,86.11), (6958,75.36), (6951,91.61), (6937,81.26), (6931,66.16), (6917,82.65), (6910,84.47), (6897,91.76), (6890,67.56), (6883,75.70), (6870,73.35), (6863,77.15), (6856,76.86), (6809,71.99), (6802,95.81), (6788,72.32), (6775,77.39), (6768,84.69), (6761,91.61), (6748,91.99), (6741,73.12), (6727,89.05), (6720,73.77), (6714,86.20), (6707,82.65), (6700,98.65), (6693,80.53), (6680,66.54), (6673,89.88), (6659,85.54), (6653,94.81), (6639,73.34), (6632,81.07), (6626,82.60), (6619,66.43), (6612,93.27), (6598,98.07), (6592,70.01), (6578,91.73), (6558,83.62), (6551,90.28), (6537,68.35), (6524,73.81), (6517,76.59), (6510,81.70), (6497,96.97), (6476,88.79), (6463,81.82), (6449,90.97)] |
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SPY Combos: [668.77, 658.6, 648.43, 708.79] |
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NDX Combos: [25081, 24632, 24233, 24008] |
|
QQQ Combos: [610.19, 590.13, 599.86, 584.06] |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
0.863 |
0.583 |
1.259 |
0.750 |
0.609 |
0.406 |
|
Gamma Notional (MM): |
‑$501.046M |
‑$1.57B |
$5.646M |
‑$452.442M |
‑$53.391M |
‑$1.198B |
|
25 Delta Risk Reversal: |
-0.102 |
0.00 |
-0.11 |
0.00 |
-0.091 |
-0.089 |
|
Call Volume: |
899.965K |
1.561M |
14.494K |
887.677K |
22.052K |
340.973K |
|
Put Volume: |
1.223M |
3.279M |
11.223K |
1.272M |
46.029K |
1.212M |
|
Call Open Interest: |
8.723M |
5.621M |
73.002K |
3.74M |
263.466K |
3.097M |
|
Put Open Interest: |
13.351M |
11.452M |
79.534K |
5.932M |
448.451K |
7.832M |
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