| Futures are flat to Fridays close and gamma levels are positive in S&P. We note 3350 again as the largest area of gamma interest with very little set to expire today. Markets obviously have to contend with the uncertainty around Trumps condition, and it will be interesting to see if that impacts “pre election” volatility levels. We note that the SKEW Index is at lows, however this only looks at SPX options <=30 days (whitepaper). There is still an interesting kink in SPX put levels between October (1.2mm), Nov (640k) and Dec (2.3mm). As a result of this we are watching for some type of reaction in these shorter term volatility levels.
For today 3350 iss the main “pivot” area. Despite indications of Zero Gamma around 3325 we maintain 3300 as the key flip level due to large amounts of OI there. To the upside 3400 is still the top of the range into October OPEX (10/16). |
| Market Outlook: |
| 3200 – 3400 October OPEX range. |
| Event | Time EST | Actual | Forecast | Previous |
| ISM Non-Manufacturing PMI | 10:00am | 56.3 | 56.9 |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
| Ref Price: | 3355 | 3341 | 335 | 11344 | 274 | ||
| VIX Ref: | 29.02 | 27.63 | |||||
| SG Gamma Index™: | 0.40 | 0.20 | 0.07 | 0.00 | 0.00 | ||
| Gamma Notional(MM): | $85.00 | $-44.00 | $394.00 | $1.00 | $-221.00 | ||
| SGI Imp. 1 Day Move: | 1.07%, | 36.0 pts | Range: 3319.0 | 3391.0 | ||||
| SGI Imp. 5 Day Move: | 3355.75 | 1.5% | Range: 3305.0 | 3406.0 | ||||
| Zero Gamma Level(ES Px): | 3322 | 3332 | — | ||||
| Vol Trigger™(ES Px): | 3345 | 3370 | 334 | 10900 | 274 | ||
| High Gamma Strike Resistance: | 3350 | 3400 | 336 | 11000 | 277 | ||
| SG Abs. Gamma Strike: | 3350 | 3400 | 335 | 10900 | 277 | ||
| Put Wall Support: | 3200 | 3100 | 330 | 10000 | 255 | ||
| Call Wall Strike: | 3350 | 3400 | 336 | 11000 | 277 | ||
| CP Gam Tilt: | 1.2 | 0.97 | 1.17 | 1.11 | 0.78 | ||
| Delta Neutral Px: | 3240.0 | ||||||
| Net Delta(MM): | $10,681.00 | $10,781.00 | $1,769.00 | $365.00 | $653.00 | ||
| 25D Risk Reversal | -0.09 | -0.08 | -0.09 | -0.09 | -0.08 | ||
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3400, 3375, 3350, 3300] SPY: [350, 340, 335, 330] QQQ: [280, 277, 275, 270] NDX:[11200, 11000, 10900, 10000] SPX Combo: [3347.0, 3398.0, 3357.0, 3371.0, 3367.0] NDX Combo: [11391.0, 11312.0] The Volatility Trigger has moved DOWN: 3345 from: 3370 The PutWall has moved to: 3200 from: 3100 The Call Wall has moved to: 3350 from: 3400 The High Gamma Strike has moved to: 3350 from: 3400 SPX is above the Volatility Trigger™, resistance is: 3350 Support is: 3350 The total gamma has moved has moved UP: $85.00MM from: $-44.00MM 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% |