|Futures are up to 3310, breaking through and holding that key 3300 level. There was big interest changes as 3250 yesterday with 20k calls & 28k puts being added. This may add weight to that level should be break lower.
There is fairly light gamma resistance overhead with 3350 being the major target area, and Combo strikes showing nothing of significance until 3364.
Much of the SPX options data seems to suggest this bounce was a short cover rally as opposed to call buying which has implications for the sustainability of the bounce. In single stocks we do however note call buying which could become the driver. Recall that we view single stock as imposing a negative gamma position on dealers which creates instability/volatility (rapid price shifts up and down). You can see on this Equity Dashboard just how much options size was removed after Sep OPEX and how this may build back into October OPEX.
For today we note 3300 is the key support level – a break there infers a quick move to 3250. We show initial resistance at 3320 and 3350.
|3200 – 3400 October OPEX range.|
|Flash Manufacturing PMI||9:45am||52.5||53.1|
|Flash Services PMI||54.5||55.0|
|Fed Chair Powell Testifies||10:00am|
|Crude Oil Inventories||10:30am||-2.5M||-4.4M|
|Signal Name||Latest Data||Previous||SPY||NDX||QQQ|
|SG Gamma Index™:||-0.17||-0.59||-0.02||0.00||-0.03|
|SGI Imp. 1 Day Move:||1.95%,||64.0 pts||Range: 3238.0 | 3366.0|
|SGI Imp. 5 Day Move:||3299.5||2.64%||Range: 3212.0 | 3387.0|
|Zero Gamma Level(ES Px):||3311||3313||—|
|Vol Trigger™(ES Px):||3320||3345||329||10900||270|
|High Gamma Strike Resistance:||3400||3500||350||11000||272|
|SG Abs. Gamma Strike:||3350||3250||330||10900||270|
|Put Wall Support:||3250||3250||320||10000||255|
|Call Wall Strike:||3500||3500||350||11000||272|
|CP Gam Tilt:||0.92||0.92||0.97||1.04||0.83|
|Delta Neutral Px:||3236.0|
|25D Risk Reversal||-0.08||-0.08||-0.08||-0.07||-0.08|
|Top Absolute Gamma Strikes:
SPX: [3400, 3350, 3300, 3250]
SPY: [335, 330, 325, 320]
QQQ: [280, 275, 272, 270]
NDX:[11200, 11000, 10900, 10000]
SPX Combo: [3248.0, 3288.0, 3265.0, 3364.0, 3258.0]
NDX Combo: [11108.0, 11019.0, 11308.0, 11230.0, 10941.0]
The Volatility Trigger has moved DOWN: 3320 from: 3345
The High Gamma Strike has moved to: 3400 from: 3500
SPX is below the Volatility Trigger™. The 3311.0 level is first level of resistance and is critical as its the negative gamma threshold.
The trigger level of: 3320 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 DOWN: $-169.19MM from: $-100.00MM
Gamma is tilted towards Puts, may indicate puts are expensive
Negative gamma is moderate favoring further swings in the market