| Futures put in a low of ~3345 overnight and have recovered to ~3365. Gamma notional levels all declined, but the somewhat shocking reduction was in SPY which is now nearly zero from >$1bn yesterday AM. The Zero Gamma flip point remains around 3275, but we mark 3300 as the level that must hold to maintain positive gamma. Looking at the OI Change charts from yesterday you can see there were some addition of puts but we didnt detect anything remarkable from a hedging perspective. There was however a lot of OI added to 3400 (15k calls, 15 puts) which pushes that strike to the largest total gamma level (aka “Absolute Gamma”), and so we view this as our top into tomorrows OPEX.
For today we note 3384 as a large Combo strike (resistance) with support at 3350. The risk for our levels today is that intraday flow drastically changes the hedging profile (ie puts being added and/or closed), so I think its particularly important to keep an eye on the VIX. If it maintains a trend higher/lower that may indicate SPX selling/buying pressure, particularly into the close. On an admin note, the Equity Hub beta is open. Its a bit earlier than we were planning for but due to the large expiration tomorrow we are notifying you all. You can subscribe here for a 5 day trial. Rates for the “official release” will increase Sep 1. |
| Market Outlook: |
| 3400 top, 3300 low into August Expiration |
| Event | Time EST | Actual | Forecast | Previous |
| Philly Fed Manufacturing Index | 21.0 | 24.1 | ||
| Unemployment Claims | 930K | 963K | ||
| CB Leading Index m/m | 10:00am | 1.0% | 2.0% |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ |
| Ref Price: | 3363 | 3370 | 336 | 11325 | 276 |
| VIX Ref: | 23.57 | 22.59 | |||
| SG Gamma Index™: | 0.63 | 0.69 | 0.11 | 0.03 | 0.01 |
| Gamma Notional(MM): | $222.00 | $468.00 | $95.00 | $4.00 | $67.00 |
| SGI Imp. 1SD Move: | 0.96%, | 32.0 pts, Range: | 3331.0 | 3395.0 | ||
| SGI Imp. 5 Day Move: | 3379.5 | 2.3% | 3286.0 | 3440.0 | ||
| Zero Gamma Level(ES Px): | 3272 | 3278 | — | ||
| Vol Trigger™(ES Px): | 3225 | 3200 | 337 | 10100 | 271 |
| High Gamma Strike Resistance: | 3450 | 3450 | 340 | 11400 | 280 |
| Top Abs. Gamma Strike: | 3400 | 3300 | 340 | 11200 | 277 |
| Put Wall Support: | 3000 | 3000 | 336 | 10000 | 265 |
| Call Wall Strike: | 3450 | 3450 | 340 | 11400 | 280 |
| CP Gam Tilt: | 1.16 | 1.32 | 1.03 | 1.36 | 1.06 |
| Delta Neutral Px: | 3166.0 | ||||
| Net Delta(MM): | $11,626.00 | $10,862.00 | $2,150.00 | $366.00 | $684.00 |
| 25D Risk Reversal | -0.07 | -0.07 | -0.08 | -0.08 | -0.08 |
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3400, 3350, 3300, 3200] SPY: [340, 338, 335, 330] QQQ: [277, 275, 272, 270] NDX:[11400, 11200, 11000, 10025] SPX Combo: [3384.0, 3411.0, 3337.0] NDX Combo: [11390.0, 11458.0, 11549.0] The Volatility Trigger has moved UP: 3225 from: 3200 SPX resistance is: 3400 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $222.41MM from: $467.00MM 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% |