| Futures hold the 3250 area with little shift in levels overnight. One of the more interesting developments after Sep OPEX was a fairly significant drop in the Call:Put gamma ratio as seen here. Sept OPEX dropped a lot of calls, and there doesnt seem to be an appetite to rebuild that position. This has our SG Gamma Index at quite negative levels which implies some fairly large SPX moves (1 SD move ~2%). There is a lot of “volatility potential” today. Possibly related to this was some strange put interest changes yesterday: 3230 +15k, 3240 & 3250 strikes both added 20k. What makes this curious is that it looks like it was added yesterday for todays expiration. We’re not sure specifically what the trade was but its adds some decent gamma for todays weekly OPEX. 3250 is again as the key pivot area. Support is at 3200 and under there negative gamma jumps which could lead to an expansive drawdown. 3300 remains larger overhead resistance. |
| Market Outlook: |
| 3200 – 3400 October OPEX range. |
| Event | Time EST | Actual | Forecast | Previous |
| Core Durable Goods Orders m/m | 8:30am | 1.0% | 2.6% | |
| Durable Goods Orders m/m | 1.1% | 11.4% |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
| Ref Price: | 3248 | 3254 | 325 | 10916 | 265 | ||
| VIX Ref: | 28.51 | 28.58 | |||||
| SG Gamma Index™: | -0.80 | -0.49 | -0.13 | -0.00 | -0.07 | ||
| Gamma Notional(MM): | $-446.00 | $-290.00 | $-467.00 | $0.00 | $-543.00 | ||
| SGI Imp. 1 Day Move: | 2.48%, | 80 pts | Range: 3168 | 3328 | ||||
| SGI Imp. 5 Day Move: | 3299.5 | 2.64% | Range: 3212.0 | 3387.0 | ||||
| Zero Gamma Level(ES Px): | 3297 | 3309 | — | ||||
| Vol Trigger™(ES Px): | 3300 | 3225 | 325 | 10900 | 270 | ||
| High Gamma Strike Resistance: | 3500 | 3500 | 350 | 11000 | 300 | ||
| SG Abs. Gamma Strike: | 3250 | 3250 | 320 | 10900 | 270 | ||
| Put Wall Support: | 3250 | 3200 | 320 | 10000 | 260 | ||
| Call Wall Strike: | 3500 | 3500 | 350 | 11000 | 300 | ||
| CP Gam Tilt: | 0.69 | 0.78 | 0.84 | 0.97 | 0.61 | ||
| Delta Neutral Px: | 3215.0 | ||||||
| Net Delta(MM): | $10,801.00 | $10,539.00 | $1,728.00 | $308.00 | $703.00 | ||
| 25D Risk Reversal | -0.09 | -0.08 | -0.09 | -0.09 | -0.09 | ||
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3350, 3300, 3250, 3200] SPY: [330, 325, 320, 310] QQQ: [270, 267, 265, 260] NDX:[11200, 11000, 10900, 10000] SPX Combo: [3253.0, 3243.0, 3201.0, 3224.0, 3227.0] NDX Combo: [10885.0] The Volatility Trigger has moved UP: 3300 from: 3225 The PutWall has moved to: 3250 from: 3200 SPX is below the Volatility Trigger™. The 3297.0 level is first level of resistance and is critical as its the negative gamma threshold. The trigger level of: 3300 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: $-446.19MM from: $-291.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |