|The low in futures overnight was 3200 as the selloff extends. We see the ZeroGamma/Vol Trigger lines now around 3180 in SPX. The challenge for SPX holding there is that SPY and QQQ at or on negative gamma levels, which means that if we sell off down to 3180 SPX it may be too late for bounce. The other issue is that based on the Risk Reversal price and options volume yesterday, puts were not really in demand. If put buyers step in today that can add negative gamma, which dealers will hedge by shorting. For these reasons we stick with the notion that 3200 really must hold.
Looking at our Combo chart we see this large but choppy band of gamma from 3200-3250 (chart) which suggests that we will need real buying volume to regain 3250. There was also chunky straddle type volume of ~40k contracts (20k calls, 20k puts) which were added to 3265 yesterday. Considering there was resistance in this area several times recently, this volume only adds to that.
In summary, for today if 3200 breaks we would be on alert for a larger move lower and are really using this line as our “Zero Gamma” strike. We don’t see a setup for an explosive move higher, but we could grind up if VIX fades. The market is in quite a shaky place at the moment, and caution is warranted.
|August positions are very light with largest positions appearing around 3000 and 3300. This range will consolidate next week as new positions build.|
|Flash Manufacturing PMI||9:45am||52.0||49.8|
|Signal Name||Latest Data||Previous||SPY||NDX||QQQ|
|SG Gamma Index™:||0.41||0.62||0.02||0.01||-0.07|
|SGI Imp. 1SD Move:||1.2%||3168.0 | 3244.0|
|SGI 5 Day||3242.75 | 0.0261||3122.0 | 3290.0|
|Zero Gamma Level(ES Px):||3182.0||3129.0||—|
|Vol Trigger™(ES Px):||3170||3100||322||10150||263|
|High Gamma Strike Resistance:||3300||3300||330||10625||270|
|Top Abs. Gamma Strike:||3200||3200||320||10625||250|
|Put Wall Support:||2900||3000||320||10000||250|
|Call Wall Strike:||3300||3300||330||10625||270|
|CP Gam Tilt:||1.03||1.21||0.94||1.1||0.59|
|Delta Neutral Px:||3079.0|
|25D Risk Reversal||-0.09||-0.08||-0.09||-0.09||-0.09|
|Top Absolute Gamma Strikes:
SPX: [3300, 3200, 3100]
SPY: [325, 320, 310]
QQQ: [260, 257, 250]
NDX:[10625, 10025, 10000]
SPX Combo: [3220.0, 3210.0, 3245.0]
NDX Combo: [10293.0, 10491.0, 10376.0]
The Volatility Trigger has moved UP: 3170 from: 3100
The PutWall has moved to: 2900 from: 3000
SPX resistance is: 3300. Support is: 3200 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved DOWN: $34.13MM from: $239.00MM
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%