|Futures are back to cash closing levels after testing 3250 overnight. Obviously with yesterdays volatility we see a bunch of changes in levels, too. Notably it appears puts were net closed at strikes >3280 which supports our notion yesterday that dealers were buying back short hedges. Recall the Put Wall was 3300 yesterday, and that has moved down to 3250 as a result of 3300’s closing. There was also decent net call additions around the 3300 area, a strike which sets up as resistance and the Zero Gamma line.
We think long positions are “safer” to initiate above 3300 as any move lower increases the draw of those 3250 puts and volatility expansion.
It continues to feel like a lot of the intraday movement is driven by very short term trading and despite some sharp moves lower we dont seem to pick up any sizeable put flows. Said another way it reads like flows in SPX are dominated by “opportunistic trading” rather than “hedging”. Clearly there is some selling going on as the market is well off highs, but it hasn’t felt like an “escape velocity” washout (yet?) as over the last several sessions markets caught a bid into the close.
Finally, we are excited to be presenting for the Bookmap Pro Trader series today at 11 AM EST. The topic is “Volatility Potential in Single Stock Gamma”. Please join us by registering here.
|Sep OPEX tomorrow, new October range to setup starting Monday.|
|Fed Chair Powell Testifies||10:30am|
|Signal Name||Latest Data||Previous||SPY||NDX||QQQ|
|SG Gamma Index™:||-0.58||-0.07||-0.13||-0.00||-0.06|
|SGI Imp. 1 Day Move:||1.0%,||33.0 pts||Range: 3230.0 | 3296.0|
|SGI Imp. 5 Day Move:||3299.5||2.64%||Range: 3212.0 | 3387.0|
|Zero Gamma Level(ES Px):||3304||3313||—|
|Vol Trigger™(ES Px):||3345||3315||329||10900||270|
|High Gamma Strike Resistance:||3500||3325||350||11000||272|
|SG Abs. Gamma Strike:||3250||3350||325||11000||270|
|Put Wall Support:||3250||3300||320||10000||255|
|Call Wall Strike:||3500||3325||350||11000||272|
|CP Gam Tilt:||0.74||0.75||0.82||0.92||0.67|
|Delta Neutral Px:||3198.0|
|25D Risk Reversal||-0.08||-0.08||-0.08||-0.08||-0.08|
|Top Absolute Gamma Strikes:
SPX: [3400, 3350, 3300, 3250]
SPY: [330, 325, 320, 310]
QQQ: [270, 265, 260, 255]
NDX:[11200, 11000, 10000, 9800]
SPX Combo: [3247.0, 3227.0, 3267.0, 3224.0, 3208.0]
NDX Combo: [10888.0, 11096.0, 10768.0, 11019.0, 10844.0]
The Volatility Trigger has moved UP: 3345 from: 3315
The PutWall has moved to: 3250 from: 3300
The Call Wall has moved to: 3500 from: 3325
The High Gamma Strike has moved to: 3500 from: 3325
SPX is below the Volatility Trigger™. The 3304.0 level is first level of resistance and is critical as its the negative gamma threshold.
The trigger level of: 3345 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: $-257.00MM from: $-323.00MM
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma is moderate favoring further swings in the market