| The S&P appears to be looking for 3500 today on what should be a quiet session (US banks & bond markets are closed for a holiday). There was little shifted in levels over the weekend with 3500SPX & 350SPY still the largest gamma level and resistance for today. The flip points all remain down under 3400, and we do not anticipate this structure changing much before Fridays Monthly options expiration. 3500 will be the interesting level, as markets have rallied over 4% since last Monday and the VIX is indicating a break of 22 (Sep. low). As mentioned in Fridays note we think “decay” has had a fair amount to do with this rally. The “election premium” in volatility has deflated as shown by the VIX and VIX futures. As many of you know we believe lower implied vols lead to dealer short covering and now markets have are tagging the largest gamma level on the board. The other curious aspect to this rally (and really all of post-Covid-crash) has been the lack of positive gamma during rallies. You can see a chart here. This lack of a “gamma cushion” infers these sharp rallies are less stable. For today we are looking for a fairly tight, mean reverting market. 3500 is the key level and likely remains in play until 10/16 expiration. 3500 is also the Call Wall which indicates in a resistance/pin level. To the downside we mark a Combo bar at 3483. |
| Market Outlook: |
| 3400-3500 range into Oct OPEX (10/16) |
| Event | Time EST | Actual | Forecast | Previous |
| Bank Holiday | All Day |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
| Ref Price: | 3483 | 3476 | 348 | 11785 | 285 | ||
| VIX Ref: | 14 | 25 | |||||
| SG Gamma Index™: | 0.77 | 0.77 | 0.12 | 0.02 | 0.00 | ||
| Gamma Notional(MM): | $542.00 | $511.00 | $1,237.00 | $3.00 | $147.00 | ||
| SGI Imp. 1 Day Move: | 0.9%, | 31 pts | Range: 3452 | 3514 | ||||
| SGI Imp. 5 Day Move: | 3483 | 2.53% | Range: 3395.0 | 3572.0 | ||||
| Zero Gamma Level(ES Px): | 3372 | 3365 | — | 0 | |||
| Vol Trigger™(ES Px): | 3395 | 3395 | 346 | 10900 | 285 | ||
| SG Abs. Gamma Strike: | 3500 | 3500 | 350 | 10900 | 285 | ||
| Put Wall Support: | 3470 | 3470 | 346 | 9500 | 255 | ||
| Call Wall Strike: | 3500 | 3500 | 350 | 11825 | 290 | ||
| CP Gam Tilt: | 1.38 | 1.51 | 1.59 | 1.44 | 1.17 | ||
| Delta Neutral Px: | 3239 | ||||||
| Net Delta(MM): | $11,698.00 | $11,674.00 | $1,947.00 | $363.00 | $655.00 | ||
| 25D Risk Reversal | -0.08 | -0.08 | -0.08 | -0.09 | -0.08 | ||
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3500, 3450, 3400, 3350] SPY: [350, 347, 346, 345] QQQ: [290, 285, 280, 275] NDX:[12000, 11600, 11000, 10900] SPX Combo: [3532.0, 3483.0, 3508.0, 3431.0, 3456.0] NDX Combo: [11966.0, 11849.0] SPX resistance is: 3500 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $541.00MM from: $510.00MM 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% |