|Futures are flat to last nights close at 3350. We saw a slight build in gamma levels, with a notable jump in the Call Wall to 3500. As discussed recently we look for the Call Wall to roll higher to confirm higher prices in the SPX. Our gamma flip levels are also lined up under 3400 giving us a pretty clear range (3400-3500) into next weeks larger expiration.
We have two factors which may tighten down price movement into next week: 1) Increased gamma levels and 2) historically, volatility tends to decline into the large monthly expirations.
Earnings also pick up next week which may change some focus to the single stock space. Call gamma has been building in individual equities and it is starting to rival August levels as seen here (note we assume dealers are short single stock gamma).
For today we look at 3458 as a large Combo bar, with a band of large gamma in the 3475 area. 3430 is first support. As gamma levels are elevated, we look for mean reverting price action and relatively low volatility.
|Signal Name||Latest Data||Previous||SPY||NDX||QQQ|
|SG Gamma Index™:||0.80||0.74||0.18||0.01||0.00|
|SGI Imp. 1 Day Move:||0.99%,||34.0 pts||Range: 3414.0 | 3482.0|
|SGI Imp. 5 Day Move:||3355||1.5%||Range: 3305.0 | 3406.0|
|Zero Gamma Level(ES Px):||3363||3353||—||0|
|Vol Trigger™(ES Px):||3370||3415||339||10900||279|
|SG Abs. Gamma Strike:||3400||3400||350||10900||280|
|Put Wall Support:||3200||3410||320||9500||279|
|Call Wall Strike:||3500||3425||345||11000||282|
|CP Gam Tilt:||1.43||1.42||1.64||1.34||1.04|
|Delta Neutral Px:||3255|
|25D Risk Reversal||-0.08||-0.09||-0.09||-0.09||-0.08|
|Top Absolute Gamma Strikes:
SPX: [3500, 3450, 3400, 3350]
SPY: [350, 345, 342, 340]
QQQ: [285, 282, 280, 275]
NDX:[11400, 11200, 11000, 10900]
SPX Combo: [3506.0, 3458.0, 3482.0, 3517.0, 3465.0]
NDX Combo: [11616.0, 11732.0, 11488.0]
The Volatility Trigger has moved DOWN: 3370 from: 3415
The PutWall has moved to: 3200 from: 3410
The Call Wall has moved to: 3500 from: 3425
SPX resistance is: 3500. Support is: 3400 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved has moved UP: $499.00MM from: $417.00MM
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%