|Futures are fairly flat to last nights cash close, with S&P gamma levels positive. One of the things that caught our eye this AM was the Risk Reversal which shows calls rising in price relative to puts. This is a bit unexpected give the election, but because it only looks ~30 days the prices may not reflect that event. There was also a big jump in Gamma Tilt. Both of these readings may have changed from put values dropping as opposed to calls increasing, and supports the notion that this recent bounce was short covering. Our metrics still show little movement in SPX calls, and single stock metrics aren’t reflecting much increase either. From an options positioning perspective things look pretty neutral.
Today’s SG implied move looks for a fairly tight ~50bps move on the day. Levels show a thick band of interest around 3350 and a single Combo Strike up at 3390. We are still marking 3300 as our flip level due to the amount of options there, and consider the trend higher intact unless we break that level.
|3200 – 3400 October OPEX range.|
|CB Consumer Confidence||10:00am||90.0||84.8|
|Signal Name||Latest Data||Previous||SPY||NDX||QQQ|
|SG Gamma Index™:||0.30||-0.05||0.03||0.01||-0.01|
|SGI Imp. 1 Day Move:||0.47%,||16.0 pts||Range: 3330.0 | 3362.0|
|SGI Imp. 5 Day Move:||3310.0||4.84%||Range: 3150.0 | 3470.0|
|Zero Gamma Level(ES Px):||3312||3290||—|
|Vol Trigger™(ES Px):||3350||3295||334||10900||273|
|High Gamma Strike Resistance:||3355||3300||335||11000||280|
|SG Abs. Gamma Strike:||3350||3300||335||10900||280|
|Put Wall Support:||3200||3200||334||10000||255|
|Call Wall Strike:||3355||3300||335||11000||280|
|CP Gam Tilt:||1.14||1.15||1.1||1.16||0.95|
|Delta Neutral Px:||3230.0|
|25D Risk Reversal||-0.07||-0.08||-0.07||-0.07||-0.07|
|Top Absolute Gamma Strikes:
SPX: [3400, 3375, 3350, 3300]
SPY: [350, 340, 335, 330]
QQQ: [280, 275, 270, 255]
NDX:[11200, 11000, 10900, 10000]
SPX Combo: [3345.0, 3351.0, 3392.0, 3341.0, 3361.0]
NDX Combo: [11500.0]
The Volatility Trigger has moved UP: 3350 from: 3295
The Call Wall has moved to: 3355 from: 3300
The High Gamma Strike has moved to: 3355 from: 3300
SPX is below the Volatility Trigger™. The 3312.0 level is first level of resistance and is critical as its the negative gamma threshold.
The trigger level of: 3350 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: $82.81MM from: $173.00MM
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%