|Futures up slightly to 3508 this morning. Weve seen a pretty heavy drop in SPX gamma and major consolidation of levels at 3500. This is due to ~35k puts added yesterday to the 3500 strike. Because the Call Wall only shifts to 3510 we’re sort of trapped in this box of 3500-3510. It does seem like the SPX has been consolidating/compressing and is set to make a move.
Looking just at the last 5 trading days, Q’s are up ~4% with SPY’s adding only 2%. At the same time QQQ gamma remains quite flat with SPY pushing the $1bn mark, which again shows more “volatility potential” in QQQ. As we enter the 4th quarter I start to wonder about “performance anxiety”, and how that manifests for those who have primarily been in SPX (+8% YTD) vs NDX (+38%)
For today we note large Combo support at 3490 with 3500 being a key pivot level. If we break out through the 3510 Call Wall we note a large Combo strike up near 3537. Were on watch for a large extension down should 3490 break.
|3400 low to 3525 top into September.|
|ISM Manufacturing PMI||10:00am||54.6||54.2|
|Signal Name||Latest Data||Previous||SPY||NDX||QQQ|