Futures have pulled back slightly to 4515. Key support is at 4500, then 4479. Resistance lines up at 4529. We look for another fairly tight trading range today, with a max estimated range of 0.68%. As the Call Wall did not roll higher from 450SPY or 4500SPX, we look for the SPX to hold the 4500-4515(SPY450 equivalent) area. Todays view, along with overnight pullback is in line with yesterdays call for consolidation.
The S&P500 did attempt to break all time highs yesterday, but was rejected, and this corresponds with a test of recent lows in the VIX. Our updated data shows that open interest is starting to fill in through the 4500-4550 range, and we think its likely that the Call Wall shifts to 4550 by Friday. Should this metric move higher it would validate a market move up to 4550 and a new highs.
Those looking for a bit more action may again look to the QQQ, as our vanna models show more volatile potential. We also see that the SG Gamma Index for the QQQ is near zero, indicating less resistance overhead.
Finally, while we don’t often mention single stocks here we did want to make mention of the BITO (Bitcoin Futures ETF) which launched options yesterday. Here is our EquityHub snapshot from today, which shows fairly light volume and open interest. 60 was the highest call strike available, and that is the call strike in which most traders are now positioned. This data is a bit underwhelming, but its likely that most “meme traders” are already active in crypto itself. Additional strikes and weekly options become listed today.
Model Overview:
Positive gamma and support lies at 4500, however we consider this level the top of our range until the Call Wall rolls to a higher strike.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4517 | 4524 | 452 | 15329 | 374 |
| SpotGamma Imp. 1 Day Move: | 0.68%, | 31.0 pts | Range: 4486.0 | 4548.0 | ||
| SpotGamma Imp. 5 Day Move: | 1.66% | 4449 (Monday Ref Px) | Range: 4375.0 | 4523.0 | ||
| SpotGamma Gamma Index™: | 1.98 | 1.97 | 0.25 | 0.04 | -0.02 |
| Volatility Trigger™: | 4440 | 4440 | 448 | 15000 | 373 |
| SpotGamma Absolute Gamma Strike: | 4500 | 4500 | 450 | 15500 | 375 |
| Gamma Notional(MM): | $505 | $646 | $835 | $4 | $-107 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4445 | 4453 | 0 | 0 | 0 |
| Put Wall Support: | 4300 | 4300 | 440 | 14200 | 350 |
| Call Wall Strike: | 4500 | 4500 | 453 | 15125 | 380 |
| CP Gam Tilt: | 1.61 | 1.4 | 1.24 | 1.33 | 0.93 |
| Delta Neutral Px: | 4328 | ||||
| Net Delta(MM): | $1,546,665 | $1,535,497 | $186,495 | $47,437 | $85,555 |
| 25D Risk Reversal | -0.05 | -0.04 | -0.06 | -0.06 | -0.06 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4550, 4500, 4450, 4400] |
| SPY: [453, 452, 450, 448] |
| QQQ: [380, 375, 373, 370] |
| NDX:[15500, 15125, 14200, 14000] |
| SPX Combo: [4479.0, 4529.0, 4579.0, 4511.0, 4520.0] |
| SPY Combo: [448.79, 453.77, 458.74, 451.96, 452.86] |
| NDX Combo: [15529.0, 15069.0, 15253.0, 15329.0, 15743.0] |
