Futures held an extremely tight ~9pt range overnight, and are currently at 4139. The SPY Call Wall has shifted to 415 to match the SPX 4150 resistance area. We’re anticipating yet another tight trading range with the SG Implied Move at 26pts. The week into large expirations (ie this week) is often a rather dull period, and that appears to be playing out again now.
Just as with the SPX chart from yesterday, you can now see this large open interest “box” in SPY. The idea here is that as we get closer to OPEX, out of the money options begin to decay (charm) and that leads to hedging flows pushing the SPY/SPX price “back in the box”.
You can see this pinning effect in IWM too, wherein the large gamma line is 220 (chart below), and in single stocks like AMZN which has ~45% of its total gamma expiring Friday, the bulk of which is tied to 3400.
Macro Note:
4150 – 4100 range into 4/16 OPEX. We look for tight trading ranges and a pinning of the large 4150 or 4100 gamma lines.
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 4135 | 4134 | 412 | 13977 | 340 | ||
| VIX Ref: | 16.69 | 16.65 | |||||
| SG Gamma Index™: | 1.52 | 1.38 | 0.22 | 0.02 | 0.04 | ||
| Gamma Notional(MM): | $508 | $488 | $983 | $2 | $185 | ||
| SGI Imp. 1 Day Move: | 0.62%, | 26.0 pts | Range: 4109.0 | 4161.0 | ||||
| SGI Imp. 5 Day Move: | 4106 | 1.38% | Range: 4050.0 | 4163.0 | ||||
| Zero Gamma Level(ES Px): | 4033 | 3912 | — | 0 | |||
| Vol Trigger™(ES Px): | 3965 | 3965 | 408 | 13740 | 334 | ||
| SG Abs. Gamma Strike: | 4100 | 4000 | 410 | 12850 | 340 | ||
| Put Wall Support: | 4080 | 4080 | 411 | 13900 | 290 | ||
| Call Wall Strike: | 4150 | 4150 | 415 | 14000 | 340 | ||
| CP Gam Tilt: | 1.64 | 1.21 | 1.33 | 1.21 | 1.19 | ||
| Delta Neutral Px: | 3903 | ||||||
| Net Delta(MM): | $1,325,296 | $465,749 | $192,419 | $45,281 | $79,312 | ||
| 25D Risk Reversal | -0.05 | -0.05 | -0.04 | -0.05 | -0.05 | ||
| Top Absolute Gamma Strikes: SPX: [4150, 4125, 4100, 4000] SPY: [415, 412, 411, 410] QQQ: [340, 337, 335, 330] NDX:[14000, 13900, 13800, 12850] SPX Combo: [4145.0, 4194.0, 4170.0, 4095.0, 4153.0] NDX Combo: [13968.0, 14177.0, 14387.0, 14009.0, 13842.0]SPX resistance is: 4150. Support is: 4100 .Reference ‘Intraday Support’ levels for support areas. Positive gamma is moderate which should lead to smaller market moves. |
