Markets are higher with futures holding 3600. The Call Wall has not shifted from 3600, however gamma levels did increase at this strike overnight. This suggests that 3600 should continue to mark a large pinning/”pivot” area. If you recall market action from last week, the SPX made several attempts to pull away from the 3600 Call Wall but was unsuccessful.
Normally, we would look for resistance at 3600 but given some positive news overnight that may change the structure overhead intraday. There continues to be are a few strikes >3600 to which the Wall could soon shift, and we’ll be watching for data supporting that shift today.
If markets can pull ahead gamma levels should increase, which infers that volatility should come down. This may provide a further tailwind for SPX prices. On a larger time frame 3700 remains the main target overhead.
For today we mark 3600 as the large pivot area, with support at 3575 and resistance at 3625. If the VIX continues to trend lower it would be a strong confirmation of the price move over 3600.
Macro Note:
3500-3700 range into DEC OPEX.
| SIGNAL NAME | LATEST DATA | PREVIOUS | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3603 | 3575 | 360 | 11945 | 290 | ||
| VIX Ref: | 22.03 | 22.66 | |||||
| SG Gamma Index™: | 0.76 | 0.48 | 0.21 | 0.00 | -0.02 | ||
| Gamma Notional(MM): | $463.00 | $291.00 | $1,689.00 | $1.00 | $-128.00 | ||
| SGI Imp. 1 Day Move: | 1.22%, | 44.0 pts | Range: 3559.0 | 3647.0 | ||||
| SGI Imp. 5 Day Move: | 3564 | 1.96% | Range: 3494.0 | 3634.0 | ||||
| Zero Gamma Level(ES Px): | 3514 | 3513 | — | 0 | |||
| Vol Trigger™(ES Px): | 3495 | 3495 | 356 | 11700 | 290 | ||
| SG Abs. Gamma Strike: | 3600 | 3600 | 350 | 10900 | 290 | ||
| Put Wall Support: | 3300 | 3300 | 355 | 11300 | 265 | ||
| Call Wall Strike: | 3600 | 3600 | 370 | 12000 | 300 | ||
| CP Gam Tilt: | 1.37 | 1.24 | 1.8 | 1.06 | 0.88 | ||
| Delta Neutral Px: | 3350 | ||||||
| Net Delta(MM): | $12,665.00 | $11,538.00 | $1,945.00 | $373.00 | $620.00 | ||
| 25D Risk Reversal | -0.08 | -0.08 | -0.08 | -0.07 | -0.07 | ||
| Top Absolute Gamma Strikes: SPX: [3600, 3550, 3500, 3450] SPY: [370, 360, 355, 350] QQQ: [292, 290, 285, 280] NDX:[12000, 11300, 11000, 10900] SPX Combo: [3625.0, 3651.0, 3658.0, 3575.0, 3600.0] NDX Combo: [11896.0, 11591.0, 11661.0] SPX is above the Volatility Trigger™, resistance is: 3600 Support is: 3600 The total gamma has moved has moved UP: $463.00MM from: $291.00MM Gamma is tilted towards Puts, may indicate puts are expensive Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
