Futures were flat overnight and are holding 3695. Gamma now registers as essentially flat for SPX/SPY/QQQ, with SPX/SPY gamma flip levels now in sync at ~3700 and QQQ 310. Due to this zero gamma position we are anticipating another volatile day.
From a position perspective nothing seemed to change materially as seen in the charts below. There were small reductions in SPY puts>=SPY 370 – In the money puts closing on drawdowns is is generally what we expect to see. However in SPX in the money puts were not net closed which could infer “retail” (SPY) monetized the drop, but “pros” (SPX) are holding protection. Any addition of puts could lead to dealer shorting.
3700 Strike & the VIX will be key today. Markets under 3700 combined with a VIX that shifts higher likely leads to more downside in markets. 3600/360 seemed to gain the most puts which suggests that a move lower could pick up speed into 3600.
If VIX trends down that could signal “risk on” and we could see a quick return to 3745. The appears to be little in the way of resistance over 3700.
Macro Note:
3700-3800 Jan Exp Range.
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3693 | 3691 | 369 | 12700 | 309 | ||
| VIX Ref: | 26.97 | 26.97 | |||||
| SG Gamma Index™: | 0.22 | 0.79 | -0.03 | 0.01 | -0.06 | ||
| Gamma Notional(MM): | $-23.00 | $-63.00 | $-55.00 | $1.00 | $-384.00 | ||
| SGI Imp. 1 Day Move: | 1.15%, | 42.0 pts | Range: 3651.0 | 3735.0 | ||||
| SGI Imp. 5 Day Move: | 3767 | 2.38% | Range: 3678.0 | 3857.0 | ||||
| Zero Gamma Level(ES Px): | 3684 | 3682 | — | 0 | |||
| Vol Trigger™(ES Px): | 3695 | 3695 | 369 | 12690 | 310 | ||
| SG Abs. Gamma Strike: | 3700 | 3700 | 370 | 12800 | 310 | ||
| Put Wall Support: | 3550 | 3550 | 360 | 11500 | 306 | ||
| Call Wall Strike: | 3800 | 3800 | 380 | 12725 | 320 | ||
| CP Gam Tilt: | 1.11 | 0.95 | 0.98 | 1.16 | 0.66 | ||
| Delta Neutral Px: | 3539 | ||||||
| Net Delta(MM): | $989,221.00 | $980,741.00 | $152,478.00 | $31,803.00 | $62,212.00 | ||
| 25D Risk Reversal | -0.1 | -0.08 | -0.1 | -0.1 | -0.1 | ||
| Top Absolute Gamma Strikes: SPX: [3750, 3700, 3650, 3600] SPY: [380, 375, 370, 365] QQQ: [320, 310, 300, 290] NDX:[13000, 12800, 12725, 12600] SPX Combo: [3745.0, 3756.0, 3697.0] NDX Combo: [12931.0, 12563.0] SPX is below the Volatility Trigger™. The 3684.0 level is first level of resistance and is critical as its the negative gamma threshold. The trigger level of: 3695 will act as overhead resistance. Watching VIX is key, if volatility comes in dealers will start to buy back shares as their short puts lose value. This could start a rally. The total gamma has moved has moved UP: $-24.00MM from: $-63.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |
