| Futures initially pushed lower to 3330 overnight before recovering to 3375, squarely between the large 3350/3400 interest areas. The overnight update to our SG Gamma Index shows both SPX & NQ are sitting with very flat gamma positions. It appears Trump took to Twitter offering various “light stimulus” proposals which has helped stabilize things. There was some interesting SPX volume yesterday with ~30k each (puts/calls) at 3400 and a decent uptick in 3350 put positions (~10k). You can see here how put OI increases as the market slides lower. While we do not mean to sound like a broken record here, this is a large concern. If the market does shift lower and “picks up” these larger put positions we could get a fairly substantial drawdown. The issue is of course a trigger – but that is always just “one tweet away”. The other chart of note today is the Risk Reversal which is now starting to pick up the election. You can see that metric shows prices shifting in favor of puts, and it will be interesting to watch this over the next several days. For today 3400 still markets the top of our range. We look at the cluster of levels around 3340 as support. Its important to note that 3350 is now more “put heavy” and we are therefore less enthusiastic about mean reversions off of this level. |
| Market Outlook: |
| 3200 – 3400 October OPEX range. |
| Event | Time EST | Actual | Forecast | Previous |
| FOMC Meeting Minutes | 2:00pm |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
| Ref Price: | 3370 | 3343 | 336 | 11311 | 275 | ||
| VIX Ref: | 29.44 | 29.48 | |||||
| SG Gamma Index™: | 0.03 | 0.50 | 0.01 | 0.01 | -0.04 | ||
| Gamma Notional(MM): | $61.00 | $-38.00 | $340.00 | $1.00 | $-285.00 | ||
| SGI Imp. 1 Day Move: | 0.91%, | 31.0 pts | Range: 3339.0 | 3401.0 | ||||
| SGI Imp. 5 Day Move: | 3355.75 | 1.5% | Range: 3305.0 | 3406.0 | ||||
| Zero Gamma Level(ES Px): | 3337 | 3335 | — | ||||
| Vol Trigger™(ES Px): | 3370 | 3395 | 335 | 10975 | 275 | ||
| SG Abs. Gamma Strike: | 3400 | 3400 | 340 | 10900 | 280 | ||
| Put Wall Support: | 3200 | 3200 | 330 | 10000 | 270 | ||
| Call Wall Strike: | 3400 | 3410 | 340 | 11000 | 285 | ||
| CP Gam Tilt: | 1.01 | 0.97 | 1.13 | 1.09 | 0.75 | ||
| Delta Neutral Px: | 3254.0 | ||||||
| Net Delta(MM): | $10,907.00 | $10,647.00 | $1,796.00 | $352.00 | $660.00 | ||
| 25D Risk Reversal | -0.1 | -0.09 | -0.1 | -0.1 | -0.09 | ||
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3500, 3400, 3350, 3300] SPY: [350, 340, 335, 330] QQQ: [280, 277, 275, 270] NDX:[11300, 11000, 10900, 10000] SPX Combo: [3407.0, 3431.0, 3418.0, 3316.0] NDX Combo: [] The Volatility Trigger has moved DOWN: 3370 from: 3395 The Call Wall has moved to: 3400 from: 3410 SPX is below the Volatility Trigger™. The 3337.0 level is first level of resistance and is critical as its the negative gamma threshold. The trigger level of: 3370 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: $60.00MM from: $-38.00MM 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% |