3875 is the current futures price, flat to last nights close. Little has changed in key SG levels. 3900 is the primary gamma strike, with a fairly high estimated SG range of 1.3%. Resistance lines are with Combo bars at 3897 and 3924, and support at 3860.
We see resistance continuing to build on any move over 3900 and anticipate this level remaining in play through next weeks OPEX. As discussed recently, as markets approach the large 3/19 OPEX we anticipate volatility declining which should give some support to the S&P.
The more dynamic picture remains in QQQ, which maintains a large negative gamma position. What we find most interesting about this is the fact that QQQ is so put dominated, even at prices +5-10% from current levels. This depicts quite a sentiment shift from recent times wherein it was “tech call mania”.
As we move closer to 3/19 OPEX these puts can continue to decay, particularly if implied volatility (i.e. VIX) grinds lower. This too should become supportive to equity prices as dealers can unwind short hedges (vs short QQQ put positions).
Only about 10% of the total gamma position in QQQ expires on Friday, with ~25% going away on 3/19. While we default to dealer flows providing a bullish edge, as long as the amount of negative gamma remains material, markets are exposed to downside volatility.
This is implied in the vanna model below, wherein you can see dealers can reduce short hedges as QQQ prices rise, however they must add to shorts as QQQ prices decline.
Macro Note:
3800 support 4000 resistance into March OPEX
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3872 | 3873 | 387 | 12730 | 311 | ||
| VIX Ref: | 23.5 | 24.03 | |||||
| SG Gamma Index™: | 0.44 | -0.12 | 0.00 | -0.01 | -0.12 | ||
| Gamma Notional(MM): | $76 | $102 | $19 | $-2 | $-729 | ||
| SGI Imp. 1 Day Move: | 1.29%, | 50.0 pts | Range: 3822.0 | 3922.0 | ||||
| SGI Imp. 5 Day Move: | 3831 | 3.11% | Range: 3712.0 | 3950.0 | ||||
| Zero Gamma Level(ES Px): | 3834 | 3835 | — | 0 | |||
| Vol Trigger™(ES Px): | 3860 | 3840 | 360 | 13050 | 315 | ||
| SG Abs. Gamma Strike: | 3900 | 3800 | 400 | 12800 | 315 | ||
| Put Wall Support: | 3700 | 3700 | 360 | 12500 | 290 | ||
| Call Wall Strike: | 4000 | 4000 | 370 | 13700 | 335 | ||
| CP Gam Tilt: | 1.14 | 1.06 | 2.35 | 0.84 | 0.57 | ||
| Delta Neutral Px: | 3739 | ||||||
| Net Delta(MM): | $1,309,868 | $1,313,177 | $7,949 | $38,992 | $89,284 | ||
| 25D Risk Reversal | -0.09 | -0.1 | -0.09 | -0.11 | -0.11 | ||
| Top Absolute Gamma Strikes: SPX: [4000, 3900, 3850, 3800] SPY: [400, 380, 370, 360] QQQ: [315, 310, 300, 290] NDX:[13000, 12800, 12500, 12000] SPX Combo: [3948.0, 3897.0, 3893.0, 3924.0, 3975.0] NDX Combo: [12685.0, 12481.0] The Volatility Trigger has moved UP: 3860 from: 3840 SPX resistance is: 3900 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $76MM from: $102.00MM 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% |
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