|Futures are testing new highs this morning around 3395. There was not much change in levels overnight, but that could change starting today as August Expiration positions are closed and/or rolled. SPY remains the standout as it continues to hold large gamma size over vs SPX (infers larger retail activity). Single stock call gamma also continues to expand and is pushing those record levels from June/July. Our data seems to suggest that ~50% of single stocks have their largest delta position expiring Friday.
The Combo Strike levels appear similar to yesterday with some larger bars at 3396-3400 and little underneath down to 3350 (chart). Like yesterday we see this as the market pushing up against 3400 area resistance but not much support to 3350. Another way to look at this is support would be provided by the mean reverting force of large positive gamma as opposed to a specific level.
The other intriguing chart is that of realized volatility. Note the 1 Month measure is collapsing thanks to the last several days of small, grinding moves. This likely pressures implied volatility/VIX, which we believe deflates options and creates a tailwind for equities. This decline is obviously happening into the larger catalyst of Expiration, but is worth watching.
For today resistance shows at 3396 into 3404, with the first clear support level at 3350. 3375 doesnt not show up as a key level, but has been an active SPX options level as of late. The FOMC minutes are at 2pm which may play into things, too.
|3450 top, 3350 support into Fridays expiration.|
|Crude Oil Inventories||10:30am||-2.9M||-4.5M|
|FOMC Meeting Minutes||2:00pm|
|Signal Name||Latest Data||Previous||SPY||NDX||QQQ|
|SG Gamma Index™:||0.70||0.72||0.15||0.03||0.03|
|SGI Imp. 1SD Move:||0.96%,||33.0 pts, Range:||3357.0 | 3423.0|
|SGI Imp. 5 Day Move:||3379.5||2.3%||3312.0 | 3468.0|
|Zero Gamma Level(ES Px):||3264||3260||—|
|Vol Trigger™(ES Px):||3205||3205||337||10000||271|
|High Gamma Strike Resistance:||3450||3450||340||10625||280|
|Top Abs. Gamma Strike:||3300||3350||340||11000||275|
|Put Wall Support:||3000||3000||300||10000||265|
|Call Wall Strike:||3450||3450||340||11400||280|
|CP Gam Tilt:||1.7||1.67||1.42||1.77||1.27|
|Delta Neutral Px:||3128.0|
|25D Risk Reversal||-0.07||-0.07||-0.07||-0.06||-0.07|
|Top Absolute Gamma Strikes:
SPX: [3400, 3350, 3300, 3200]
SPY: [340, 338, 335, 330]
QQQ: [280, 277, 275, 270]
NDX:[11500, 11400, 11000, 10625]
SPX Combo: [3423.0, 3447.0, 3396.0]
NDX Combo: [11476.0, 11419.0, 11396.0]
SPX resistance is: 3450. Support is: 3300 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved has moved UP: $804.00MM from: $720.00MM
Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5%