Macro Theme:
Key dates ahead:
- 12/11 CPI
- 12/18 FOMC
- 12/20 OPEX
- 12/31 OPEX Q-end
Our primary risk metric signals being long of equities while SPX >6,000 with an upside target 6,100. <6,000 we flip to risk-off. Through to 12/20 OPEX we plan to operate in “buy the dip mode” until/unless <6,000.
12/6: We’ve added various forms of put protection due to low IV’s as a way to protect recent gains, and play any potential volatility expansion between now and year end.
Key SG levels for the SPX are:
- Support: 6,045, 6,000
- Resistance: 6,055, 6,100, 6,112
- As of 12/06:
- Long equities if >6,000
- Short equities if SPX <6,000
QQQ:
- Support: 520, 510
- Resistance: 525
IWM:
- Support: 235
- Resistance: 240, 245
Founder’s Note:
Futures are flat ahead of CPI.
Support is at 6,045 & 6,000.
Resistance is at 6,055, 6,100.
Ahead of CPI there are no large 0DTE positions, with the big picture levels being 6,000, 6,055 & 6,100. We anticipate this range holding into Friday, with an edge towards a shift to 6,100. With that, we remain looking to buy dips, with a break of <6,000 as our long stop, and we’d look to flip to a net short position. This is because under 6,000 we see bear fuel: the onset of negative gamma, with IV’s jumping higher.
Our bullish assumption here is that if CPI passes as benign, the bit of related event-vol contracts (see below), which adds a shot in the arm for a higher SPX. On this point we highlight that above 6,055 we do not see major resistance to 6,100.
We read several threads yesterday about recent weakness being due to CPI ingest, but we’d strongly push back on that. The IV’s were at extreme lows heading into today, and yesterday featured a very clean move down to the 0DTE 6,035 put (red). This was a +99th %’ile size strike, and you could see
HIRO
flows push negative until the 6,035 (objective) was complete.
The way we see it, unless there is a very hot CPI tail print, the market is pricing in an 86% chance of a cut next week (12/18 FOMC) – and so anything less than hot likely shifts those odds toward 100, which allows a final pre-OPEX vol contraction.
|
|
/ES |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$6044.53 |
$6034 |
$602 |
$21368 |
$520 |
$2382 |
$236 |
|
SG Gamma Index™: |
|
0.192 |
-0.029 |
|
|
|
|
|
SG Implied 1-Day Move: |
0.50% |
0.50% |
0.50% |
|
|
|
|
|
SG Implied 5-Day Move: |
1.95% |
1.95% |
|
|
|
|
|
|
SG Implied 1-Day Move High: |
After open |
After open |
After open |
|
|
|
|
|
SG Implied 1-Day Move Low: |
After open |
After open |
After open |
|
|
|
|
|
SG Volatility Trigger™: |
$6055.53 |
$6045 |
$602 |
$21390 |
$519 |
$2400 |
$238 |
|
Absolute Gamma Strike: |
$6010.53 |
$6000 |
$600 |
$21000 |
$520 |
$2400 |
$230 |
|
Call Wall: |
$6110.53 |
$6100 |
$610 |
$20475 |
$525 |
$2500 |
$240 |
|
Put Wall: |
$5985.53 |
$5975 |
$600 |
$20800 |
$515 |
$2300 |
$225 |
|
Zero Gamma Level: |
$6009.53 |
$5999 |
$601 |
$21154 |
$519 |
$2395 |
$238 |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
1.019 |
0.978 |
1.171 |
0.901 |
0.874 |
0.832 |
|
Gamma Notional (MM): |
$24.119M |
$295.251M |
$6.537M |
‑$32.586M |
‑$17.057M |
‑$183.225M |
|
25 Delta Risk Reversal: |
-0.033 |
-0.026 |
-0.036 |
0.00 |
-0.014 |
-0.009 |
|
Call Volume: |
413.907K |
1.143M |
8.899K |
715.523K |
10.421K |
368.077K |
|
Put Volume: |
870.395K |
1.61M |
9.024K |
940.417K |
13.078K |
465.78K |
|
Call Open Interest: |
7.837M |
6.341M |
70.855K |
3.635M |
331.682K |
4.046M |
|
Put Open Interest: |
14.285M |
12.519M |
100.365K |
6.576M |
549.364K |
8.347M |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [6000, 6100, 6050, 5900] |
|
SPY Levels: [600, 605, 610, 595] |
|
NDX Levels: [21000, 21400, 21500, 20800] |
|
QQQ Levels: [520, 510, 515, 500] |
|
SPX Combos: [(6300,96.60), (6276,69.60), (6252,97.40), (6222,87.89), (6204,75.45), (6198,99.28), (6174,88.37), (6168,81.92), (6162,75.51), (6156,91.73), (6150,98.61), (6144,75.66), (6138,86.72), (6131,81.34), (6125,94.02), (6119,74.46), (6113,79.38), (6107,97.86), (6101,99.80), (6095,86.45), (6089,94.02), (6077,96.68), (6065,81.03), (6059,79.21), (6053,99.37), (6047,80.39), (6041,85.80), (6035,84.03), (6029,95.70), (6023,90.59), (6017,91.08), (6011,87.28), (6005,95.83), (5999,95.40), (5993,88.88), (5987,90.51), (5981,79.03), (5975,95.74), (5969,83.95), (5962,91.43), (5956,91.67), (5950,92.58), (5944,71.45), (5938,71.36), (5932,84.67), (5926,87.57), (5908,72.26), (5902,89.08), (5848,87.87), (5800,90.86), (5751,80.41)] |
|
SPY Combos: [609.47, 619.14, 607.05, 614.3] |
|
NDX Combos: [21753, 21560, 20471, 21133] |
|
QQQ Combos: [524.98, 530.21, 534.91, 526.03] |