| Futures are around 3310, recovering a bit after testing the 3290(ES)/3300(SPX) area overnight. Its notable that futures dropped 65 handles from peak to trough following last nights spectacle. Official gamma flip points remain in the 3325 area but we mark 3300 as the “line in the sand”. Despite the very light SPX options volume yesterday our data shows 3350 volume was ~50k (25k each put/call), with about 10k net added per put/call. This likely helped pin markets to that level, and highlights 3350 as a key area for today as well. On this recent bounce higher we noted that our data suggested dealer short covering into yesterday and that 3350 was a neutral point. We’re now in a tricky position as its apparent that call buyers are not stepping in as reflected by both SPX and single stock gamma levels. Typically after recovering from a negative gamma period we get the “vanna rally” (dealers cover shorts as puts close, implied volatility drops) and that transitions into an increase in call positions. Here it seems that on top of call dearth we don’t have a whole lot more “pre election” puts to cover and back vols are obviously not coming in. We therefore have fairly decent exposure to a sharp move lower and likely maintain that into elections. For today 3300 is the key support level, with 3350 overhead resistance. There is little positioning inside of that area as shown in the S&P Combo charts. |
| Market Outlook: |
| 3200 – 3400 October OPEX range. |
| Event | Time EST | Actual | Forecast | Previous |
| ADP Non-Farm Employment Change | 8:15am | 650K | 428K | |
| Final GDP q/q | -31.7% | -31.7% | ||
| Chicago PMI | 9:45am | 52.0 | 51.2 | |
| Pending Home Sales m/m | 10:00am | 3.1% | 5.9% |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
| Ref Price: | 3323 | 3303 | 330 | 11283 | 275 | ||
| VIX Ref: | 26.18 | 26.27 | |||||
| SG Gamma Index™: | 0.06 | 0.06 | 0.01 | 0.01 | -0.02 | ||
| Gamma Notional(MM): | $-43.00 | $-160.00 | $-192.00 | $1.00 | $-92.00 | ||
| SGI Imp. 1 Day Move: | 220.13%, | 7315.0 pts | Range: -3992.0 | 10638.0 | ||||
| SGI Imp. 5 Day Move: | 3310.0 | 4.84% | Range: 3150.0 | 3470.0 | ||||
| Zero Gamma Level(ES Px): | 3315 | 3320 | — | ||||
| Vol Trigger™(ES Px): | 3335 | 3335 | 331 | 10900 | 273 | ||
| High Gamma Strike Resistance: | 3400 | 3400 | 340 | 11000 | 280 | ||
| SG Abs. Gamma Strike: | 3350 | 3350 | 330 | 10900 | 280 | ||
| Put Wall Support: | 3200 | 3200 | 320 | 10000 | 255 | ||
| Call Wall Strike: | 3400 | 3400 | 340 | 11000 | 280 | ||
| CP Gam Tilt: | 1.03 | 0.89 | 0.93 | 1.11 | 0.91 | ||
| Delta Neutral Px: | 3233.0 | ||||||
| Net Delta(MM): | $10,786.00 | $10,722.00 | $1,739.00 | $317.00 | $655.00 | ||
| 25D Risk Reversal | -0.08 | -0.08 | -0.08 | -0.07 | -0.08 | ||
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3400, 3350, 3300, 3250] SPY: [350, 340, 335, 330] QQQ: [280, 277, 275, 270] NDX:[11200, 11000, 10900, 10000] SPX Combo: [3376.0] NDX Combo: [11440.0] SPX is below the Volatility Trigger™. The 3315.0 level is first level of resistance and is critical as its the negative gamma threshold. The trigger level of: 3335 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: $-43.00MM from: $-161.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |