|Futures are at 3510 after a quiet overnight session with a slew of banks reporting this AM. Gamma levels are flat to yesterday, but we saw a change in positioning around 3525. A bit similar to Mondays big volume at 3500 there was large volume at 3525 (45k puts, 25k calls). This fills in the anticipated range into OPEX of 3500-3550 which we think makes it a bit stickier into Friday. Outside of this put addition at 3525 there was some decent volume at 3425 (25k) but we have something of a “put gap” down to 3400. Based on current October OPEX OI we are going to lose a large chunk of the 3400-3500 call positions which adds to the gap down to 3400.
It’s a bit surprising just how poor yesterdays follow through was from Monday. We had large impactful single stock calls flows Monday, then radio silence. These are the dynamics that can be caused with all these very short term flows. As you can see in our Gamma Tilt there was a sharp reversal yesterday. These reversals from highs are something we watch carefully as it echoes this lack of “call follow through”. This combined with light OI <3500 and some high single stock (negative) gamma levels provides reasons for concern into next week.
For today we are still watching 3500 as the key strike with 3525 resistance. While we are not anticipating high volatility today, should markets break the “pull” of 3500 we’d look for support at 3450.
|3500-3550 range into Oct OPEX (10/16)|
|Core PPI m/m||8:30am||0.2%||0.4%|
|Signal Name||Latest Data||Previous||SPY||NDX||QQQ|
|SG Gamma Index™:||0.89||1.27||0.15||0.02||0.02|
|SGI Imp. 1 Day Move:||0.8%,||28.0 pts||Range: 3482.0 | 3538.0|
|SGI Imp. 5 Day Move:||3497||2.53%||Range: 3409.0 | 3586.0|
|Zero Gamma Level(ES Px):||3424||3393||—||0|
|Vol Trigger™(ES Px):||3370||3370||342||11470||283|
|SG Abs. Gamma Strike:||3500||3500||350||10900||290|
|Put Wall Support:||3200||3200||320||10000||255|
|Call Wall Strike:||3550||3550||360||12000||300|
|CP Gam Tilt:||1.47||1.5||1.37||1.38||1.12|
|Delta Neutral Px:||3264|
|25D Risk Reversal||-0.09||-0.08||-0.09||-0.08||-0.08|
|Top Absolute Gamma Strikes:
SPX: [3525, 3500, 3450, 3400]
SPY: [355, 350, 345, 340]
QQQ: [300, 295, 290, 285]
NDX:[12200, 12000, 11900, 10900]
SPX Combo: [3542.0, 3492.0, 3566.0, 3503.0, 3552.0]
NDX Combo: [12331.0]
SPX resistance is: 3550. Support is: 3500 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved DOWN: $452.78MM from: $499.00MM
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%