|Futures are up a bit which pushes SPX/SPY into positive gamma territory. Q’s are still holding a solidly negative gamma position inferring greater tech volatility.
As mentioned late last week the dominate OI position for Sep OPEX (Friday) remains 3350 & 3400, and our levels reflect that. 3350 had 77k calls and 56k puts trade Friday making it the largest volume strike. The 3300 puts were also active with 48k volume but only a 6k net OI add – so lots of “day trades” at that strike. Its also interesting to note a large strip of puts >3355 were net closed which may well have fueled the bounce off of the ~3310 lows. You can view the volume and OI change charts, and get a sense of the size expiring on 9/18 by going here.
Our single stock data suggests gamma levels are well off record August levels but total call open interest remains at or above August highs. We likely have a lot of out of the money calls which roll off Friday, but the bottom line is that the call “gamma ramp” setup that was so prominent in August is gone.
For today we see 3350 support with the Vol Trigger area just under that. A break of 3340 may bring a quick test of 3300. It does appear that Fridays low were very short term/day trading flows rather than big institutional hedging. Our Combo Strike model picks up a resistance strike at 3372, with 3400 setting up as a larger resistance line into Fridays OPEX. Scanning over the data I think we get a lot of “volatile chop” the next few days, but remain in the 3350 area. This could be an OPEX triggered setup which could lead to a trend breakout next week.
|September OPEX top range = 3500, can push down to 3200 with break of Vol Trigger.|
|Signal Name||Latest Data||Previous||SPY||NDX||QQQ|
|SG Gamma Index™:||0.01||-0.12||-0.03||-0.00||-0.08|
|SGI Imp. 1 Day Move:||0.71%,||24.0 pts||Range: 3341.0 | 3389.0|
|SGI Imp. 5 Day Move:||3365.25||1.61%||Range: 3311.0 | 3419.0|
|Zero Gamma Level(ES Px):||3306||3349||—|
|Vol Trigger™(ES Px):||3340||3365||333||11330||270|
|High Gamma Strike Resistance:||3350||3500||350||11400||272|
|SG Abs. Gamma Strike:||3350||3400||330||11200||270|
|Put Wall Support:||3250||3250||330||11000||270|
|Call Wall Strike:||3350||3500||350||11575||272|
|CP Gam Tilt:||1.0||0.93||1.07||1.11||0.64|
|Delta Neutral Px:||3200.0|
|25D Risk Reversal||-0.08||-0.08||-0.08||-0.08||-0.08|
|Top Absolute Gamma Strikes:
SPX: [3400, 3350, 3300, 3200]
SPY: [350, 340, 335, 330]
QQQ: [275, 272, 270, 265]
NDX:[11575, 11400, 11200, 11000]
SPX Combo: [3372.0, 3322.0, 3423.0, 3352.0, 3382.0]
NDX Combo: [11220.0, 11186.0, 11141.0, 11310.0, 11096.0]
The Volatility Trigger has moved DOWN: 3340 from: 3365
The Call Wall has moved to: 3350 from: 3500
The High Gamma Strike has moved to: 3350 from: 3500
SPX is above the Volatility Trigger™, resistance is: 3350 Support is: 3350
The total gamma has moved has moved UP: $95.00MM from: $-127.00MM
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%