| Markets look to a weak open with futures down around 3260. We are now operating with a fair amount of negative gamma which implies that volatility will remain high. It appears the Put Wall shifted from 3250 to 3300 due to a ~15k put increase at 3300. As the SPX goes lower the size of put open interest picks up particularly as we approach 3200. This implies the velocity of the move picks up as markets turn lower. Our general thesis in these conditions is that higher implied volatility (ie VIX) and/or the addition of puts pushes the market lower as dealers add short hedges. Conversely should IV decline and/or puts are closed that may push dealers to cover short hedges and spark rallies. The other aspect that is important to consider is high day trading volume. We’ve been seeing lots of “same day expiration” activity and this can further add to the volatility. Its likely we see a lot about “vanna” today which ties directly into this implied volatility/VIX concept. Vanna simply measures the change in delta for a given change in implied volatility, so lower/higher implied volatility can lead dealers to decrease/increase short hedges. For today we note 3300 as resistance overhead with 3250 and 3200 being the key levels below. We will be paying particular interest to the VIX trend and SPX volume at large put strikes (3300,3250,3200). Higher VIX can lead to lower SPX, and lower VIX implies higher SPX. |
| Market Outlook: |
| Sep OPEX tomorrow, new October range to setup starting Monday. |
| Event | Time EST | Actual | Forecast | Previous |
| Fed Chair Powell Speaks | 10:00am |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
| Ref Price: | 3299 | 3308 | 329 | 10877 | 266 | ||
| VIX Ref: | 14 | 25.71 | |||||
| SG Gamma Index™: | -0.07 | -0.40 | -0.09 | -0.00 | -0.06 | ||
| Gamma Notional(MM): | $-223.00 | $-741.00 | $-451.00 | $0.00 | $-449.00 | ||
| SGI Imp. 1 Day Move: | 2.0%, | 66.0 pts | Range: 3233.0 | 3365.0 | ||||
| SGI Imp. 5 Day Move: | 3299.5 | 2.64% | Range: 3212.0 | 3387.0 | ||||
| Zero Gamma Level(ES Px): | 3341 | 3349 | — | ||||
| Vol Trigger™(ES Px): | 3315 | 3340 | 331 | 10900 | 266 | ||
| High Gamma Strike Resistance: | 3325 | 3350 | 333 | 11000 | 268 | ||
| SG Abs. Gamma Strike: | 3350 | 3350 | 330 | 11000 | 267 | ||
| Put Wall Support: | 3300 | 3250 | 330 | 10000 | 265 | ||
| Call Wall Strike: | 3325 | 3350 | 333 | 11000 | 268 | ||
| CP Gam Tilt: | 0.97 | 0.67 | 0.83 | 0.92 | 0.58 | ||
| Delta Neutral Px: | 3233.0 | ||||||
| Net Delta(MM): | $10,193.00 | $11,865.00 | $1,673.00 | $244.00 | $654.00 | ||
| 25D Risk Reversal | -0.08 | -0.08 | -0.07 | -0.08 | -0.09 | ||
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3400, 3350, 3325, 3300] SPY: [335, 333, 330, 325] QQQ: [270, 268, 267, 265] NDX:[11200, 11000, 10000, 9800] SPX Combo: [3276.0, 3299.0, 3286.0, 3306.0, 3315.0] NDX Combo: [10802.0, 10922.0, 10834.0, 10671.0, 10943.0] The Volatility Trigger has moved DOWN: 3315 from: 3340 The PutWall has moved to: 3300 from: 3250 The Call Wall has moved to: 3325 from: 3350 The High Gamma Strike has moved to: 3325 from: 3350 SPX is below the Volatility Trigger™. The 3341.0 level is first level of resistance and is critical as its the negative gamma threshold. The trigger level of: 3315 will act as overhead resistance. Watching VIX is key, if volatility comes in dealers will start to buy back shares as their short puts lose value. This could start a rally. The total gamma has moved has moved UP: $-224.00MM from: $-741.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |