Futures have jumped higher to 3550 presumably from Biden’s victory declaration. The Call Wall has rolled to 3600 indicating the market has more space to move higher. With this shift up the VIX likely falls further which adds to the equity tailwind.
There was some very interesting data pushed out over the weekend regarding call positions. Last week we had noted an increase in single stock call positions and new data suggests that this was institutional traders, not retail. As you can see in this chart retail call buying remains high, but the increase seemingly came from large call buyers. This week we will be watching these call volumes closely as we suspect a call frenzy similar to the “August” ramp may be pending.
From this same set of data we are able to view into those high PutCall ratios from last week. As you can see this was largely driven by put closings. This confirms that much of last weeks move was driven not only by the volatility collapse, but also delta hedge unwinds. As all those puts are sold to close we know that those were long put holders trying to salvage a little premium. Puts sold likely means dealers buy futures.
This leads us to the final chart, which is a composite view of Put:Call open interest. The ratio is at “put lows” going back to 2014. We’d bet that this market tries to take our those prior PC lows.
For today we watch 3550 as the pivot, and an indicative 1 SD move of about 25 points. This places resistance around the 3567 and support around 3525.
Macro Note:
3500 resistance, 3400 Zero Gamma line into 11/3 expiration
| SIGNAL NAME | LATEST DATA | PREVIOUS | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3553 | 3505 | 355 | 12300 | 294 | ||
| VIX Ref: | 24.83 | 24.86 | |||||
| SG Gamma Index™: | 1.04 | 1.15 | 0.19 | 0.02 | -0.00 | ||
| Gamma Notional(MM): | $586.00 | $442.00 | $1,648.00 | $4.00 | $-6.00 | ||
| SGI Imp. 1 Day Move: | 0.65%, | 23.0 pts | Range: 3530.0 | 3576.0 | ||||
| SGI Imp. 5 Day Move: | 3553 | 2.33% | Range: 3471.0 | 3636.0 | ||||
| Zero Gamma Level(ES Px): | 3388 | 3393 | — | 0 | |||
| Vol Trigger™(ES Px): | 3395 | 3370 | 342 | 11450 | 287 | ||
| SG Abs. Gamma Strike: | 3500 | 3500 | 350 | 10900 | 280 | ||
| Put Wall Support: | 3200 | 3200 | 310 | 11000 | 255 | ||
| Call Wall Strike: | 3600 | 3500 | 360 | 12000 | 300 | ||
| CP Gam Tilt: | 1.6 | 1.42 | 1.9 | 1.59 | 0.99 | ||
| Delta Neutral Px: | 3279 | ||||||
| Net Delta(MM): | $12,501.00 | $12,503.00 | $2,056.00 | $392.00 | $692.00 | ||
| 25D Risk Reversal | -0.09 | -0.1 | -0.08 | -0.08 | -0.07 | ||
| Top Absolute Gamma Strikes: SPX: [3500, 3450, 3400, 3350] SPY: [355, 350, 345, 340] QQQ: [300, 290, 285, 280] NDX:[12000, 11800, 11000, 10900] SPX Combo: [3542.0, 3595.0, 3620.0, 3567.0, 3552.0] NDX Combo: [12509.0, 12189.0, 12300.0, 12349.0, 12091.0] The Volatility Trigger has moved UP: 3395 from: 3370 The Call Wall has moved to: 3600 from: 3500 SPX resistance is: 3600. Support is: 3500 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $586.00MM from: $442.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
