| Futures have retraced the late Friday swoon and are trading near 3490. Our gamma index does not pick up that much of a change from Fridays close and is anticipating at a 1% range today. 3500 is still registering as the largest gamma strike, with very little in the way of call positions below. This chart shows the size of call closures after the October OPEX wherein every strike <=3500 saw call OI closed. The resulting setup seems to indicate that any move under 3475 could spark sharp selling. To the upside we think the 3500-3525 range is fairly sticky in the short term. However, if there is some further election or stimulus consensus we note 3600SPX/360SPY as a large area of call concentration and overhead target into November OPEX. |
| Market Outlook: |
| New range established next week. |
| Event | Time EST | Actual | Forecast | Previous |
| Fed Chair Powell Speaks | 8:00am |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
| Ref Price: | 3486 | 3464 | 348 | 11894 | 288 | ||
| VIX Ref: | 14 | 27.41 | |||||
| SG Gamma Index™: | 0.73 | 0.65 | 0.20 | 0.00 | 0.03 | ||
| Gamma Notional(MM): | $257.00 | $129.00 | $696.00 | $1.00 | $-109.00 | ||
| SGI Imp. 1 Day Move: | 1.0%, | 35.0 pts | Range: 3451.0 | 3521.0 | ||||
| SGI Imp. 5 Day Move: | 3497 | 2.53% | Range: 3409.0 | 3586.0 | ||||
| Zero Gamma Level(ES Px): | 3425 | 3430 | — | 0 | |||
| Vol Trigger™(ES Px): | 3480 | 3445 | 346 | 11475 | 287 | ||
| SG Abs. Gamma Strike: | 3500 | 3500 | 350 | 10900 | 290 | ||
| Put Wall Support: | 3480 | 3200 | 345 | 9500 | 255 | ||
| Call Wall Strike: | 3500 | 3500 | 350 | 12000 | 290 | ||
| CP Gam Tilt: | 1.39 | 1.09 | 1.34 | 1.11 | 0.86 | ||
| Delta Neutral Px: | 3290 | ||||||
| Net Delta(MM): | $11,143.00 | $11,385.00 | $1,760.00 | $348.00 | $628.00 | ||
| 25D Risk Reversal | -0.09 | -0.09 | -0.09 | -0.08 | -0.08 | ||
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3525, 3500, 3450, 3400] SPY: [350, 349, 348, 345] QQQ: [292, 290, 285, 280] NDX:[12000, 10900, 10000, 9500] SPX Combo: [3492.0, 3503.0, 3482.0, 3545.0, 3489.0] NDX Combo: [11907.0, 11942.0, 11990.0, 11859.0] The Volatility Trigger has moved UP: 3480 from: 3445 The PutWall has moved to: 3480 from: 3200 SPX resistance is: 3500 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $256.00MM from: $129.00MM 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% |