| Futures are back testing yesterdays 3380 highs with gamma notional levels positive in the S&P. There is a divergence here though as our SG Gamma Index is slightly negative which implies a fairly volatile day. If you review the Combo Strike setup you can see that the gamma bars are negative <3370 indicating lack of support underneath. Our volume scan for yesterday shows ~35k puts added at the 3180 strike, 35k calls added at 3510 and the closing of 37k calls at 3230. While we cant confirm these trades are related, they are large position changes relative to what we have recently seen in SPX. September was a wild month as markets crashed 10% from Sep 1 highs, and have recovered 5% off lows in the last week. As a result 1 month realized volatility has obviously been trending higher as seen here, and we are approaching the 1 month forward window to elections. Despite yesterdays initial drop in VIX we do feel that implied volatility remains high particularly as trading seems heavily influenced by very short term flows. That being said this moment appears key for markets as our indicators suggest increased stability if we can close above 3400 and “lock in” the large call interest at that level. For today we are watching 3400 as resistance and see initial support at 3375. There is a jobs number due at 8:30EST. |
| Market Outlook: |
| 3200 – 3400 October OPEX range. |
| Event | Time EST | Actual | Forecast | Previous |
| Core PCE Price Index m/m | 8:30am | 0.3% | 0.3% | |
| Personal Spending m/m | 0.7% | 1.9% | ||
| Unemployment Claims | 850K | 870K | ||
| ISM Manufacturing PMI | 10:00am | 56.0 | 56.0 |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
| Ref Price: | 3372 | 3376 | 336 | 11485 | 277 | ||
| VIX Ref: | 25.93 | 26.37 | |||||
| SG Gamma Index™: | -0.24 | -0.24 | 0.04 | 0.01 | -0.00 | ||
| Gamma Notional(MM): | $200.00 | $219.00 | $464.00 | $1.00 | $-103.00 | ||
| SGI Imp. 1 Day Move: | 0.22%, | 7.0 pts | Range: 3365.0 | 3379.0 | ||||
| SGI Imp. 5 Day Move: | 3310.0 | 4.84% | Range: 3150.0 | 3470.0 | ||||
| Zero Gamma Level(ES Px): | 3314 | 3318 | — | ||||
| Vol Trigger™(ES Px): | 3360 | 3360 | 333 | 10900 | 276 | ||
| High Gamma Strike Resistance: | 3400 | 3400 | 350 | 11000 | 278 | ||
| SG Abs. Gamma Strike: | 3350 | 3350 | 335 | 10900 | 278 | ||
| Put Wall Support: | 3350 | 3350 | 320 | 10000 | 255 | ||
| Call Wall Strike: | 3400 | 3400 | 350 | 11000 | 278 | ||
| CP Gam Tilt: | 0.9 | 1.2 | 1.21 | 1.22 | 0.9 | ||
| Delta Neutral Px: | 3232.0 | ||||||
| Net Delta(MM): | $10,696.00 | $10,708.00 | $1,765.00 | $326.00 | $639.00 | ||
| 25D Risk Reversal | -0.07 | -0.07 | -0.07 | -0.06 | -0.08 | ||
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3400, 3375, 3350, 3300] SPY: [350, 340, 335, 330] QQQ: [280, 278, 277, 275] NDX:[11300, 11200, 11000, 10900] SPX Combo: [3369.0, 3420.0, 3393.0, 3373.0, 3380.0] NDX Combo: [11508.0, 11589.0] SPX resistance is: 3400. Support is: 3350 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $199.87MM from: $219.00MM 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% |