|Futures are set to open higher this morning, but Notional Gamma in SPX actually declined vs Fridays close. SPY/QQQ have higher gamma, but SPX lower is surprising given that markets are higher which should bring more value to calls and therein more positive gamma. The SPX seems to remain on vacation while short term, single stock options continue to be active. As long as this phenomenon continues we will have a lack of stability (aka high volatility) in markets.
One of the charts that caught our eye is the Realized Volatility graph here. You can see that 1 month realized volatility is starting to break down, which is a reflection of the smaller movements we’ve had over the last 30 days. This move lower could imply lower VIX going forward which may pressure options implied volatility down. We believe that when implied vols go lower that creates a tail wind for markets higher. Its certainly something to watch.
For today the Combo chart is interesting as it shows little to no resistance until ~3330 in the SPX. This picture reminds me a bit of Fridays which indicated we could see higher volatility due to lack of large options positions. With 3300 still the High Gamma strike we would watch for resistance there, and support at 3250.
|3300 is the target for August, with 3200 key support.|
|ISM Manufacturing PMI||10:00am||53.6||52.6|
|Signal Name||Latest Data||Previous||SPY||NDX||QQQ|
|SG Gamma Index™:||0.53||0.53||-0.03||0.01||-0.03|
|SGI Imp. 1SD Move:||0.97%,||32.0 pts, Range:||3246.0 | 3310.0|
|SGI 5 Day||3278.5 | 0.0243||3198.0 | 3358.0|
|Zero Gamma Level(ES Px):||3157.0||3173.0||—|
|Vol Trigger™(ES Px):||3170||3170||325||10175||265|
|High Gamma Strike Resistance:||3300||3300||330||10625||267|
|Top Abs. Gamma Strike:||3200||3200||325||10625||250|
|Put Wall Support:||2900||2900||324||10000||262|
|Call Wall Strike:||3300||3300||330||10625||267|
|CP Gam Tilt:||1.55||1.43||1.35||1.44||0.96|
|Delta Neutral Px:||3086.0|
|25D Risk Reversal||-0.09||-0.09||-0.08||-0.07||-0.09|
|Top Absolute Gamma Strikes:
SPX: [3300, 3250, 3200, 3100]
SPY: [330, 325, 324, 320]
QQQ: [267, 262, 260, 250]
NDX:[11000, 10700, 10625, 10000]
SPX Combo: [3331.0, 3328.0, 3341.0]
NDX Combo: [10966.0, 11087.0, 10889.0]
SPX resistance is: 3300. Support is: 3200 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved has moved UP: $553.00MM from: $454.00MM
Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5%