| Futures are holding the 3450 area after a quiet overnight session. Key levels remain the same as yesterday with 3400 remaining critical support and 3500 the main overhead resistance. Some light put positions were closed yesterday so we do have a small band of positive gamma at 3450 now which may help provide support. We do think markets are going to resolve direction to tag one of the large OI strikes of 3400 or 3500 today. Which direction may rely on these frantic stimulus headlines. It does seem like a pivotal moment which could set direction into the elections. The Gamma Tilt reversal we mentioned a few days ago has continued. This indicates a reduction in call gamma relative to puts. Similarly, the Risk Reversal metric shows a pickup in put value relative to calls. If 3500 comes we’d anticipate a “pin” to that area, but as highlighted yesterday a move to 3400 is quite risky for markets due to the large put OI both there and at strikes below. This is a bearish stance, but again direction is likely pinned to the outcome of stimulus. |
| Market Outlook: |
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| 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: | 3434 | 3424 | 343 | 11705 | 283 | ||
| VIX Ref: | 29.18 | 29.18 | |||||
| SG Gamma Index™: | 0.03 | 0.70 | -0.04 | 0.00 | -0.03 | ||
| Gamma Notional(MM): | $74.00 | $-25.00 | $105.00 | $0.00 | $-234.00 | ||
| SGI Imp. 1 Day Move: | 1.5%, | 51.0 pts | Range: 3399.0 | 3501.0 | ||||
| SGI Imp. 5 Day Move: | 3497 | 2.53% | Range: 3409.0 | 3586.0 | ||||
| Zero Gamma Level(ES Px): | 3400 | 3415 | — | 0 | |||
| Vol Trigger™(ES Px): | 3425 | 3480 | 342 | 11475 | 287 | ||
| SG Abs. Gamma Strike: | 3500 | 3500 | 350 | 10900 | 280 | ||
| Put Wall Support: | 3425 | 3480 | 340 | 9500 | 255 | ||
| Call Wall Strike: | 3500 | 3500 | 350 | 12000 | 300 | ||
| CP Gam Tilt: | 1.02 | 0.98 | 1.04 | 1.04 | 0.74 | ||
| Delta Neutral Px: | 3266 | ||||||
| Net Delta(MM): | $11,079.00 | $10,944.00 | $1,755.00 | $342.00 | $638.00 | ||
| 25D Risk Reversal | -0.1 | -0.09 | -0.1 | –0.08 | -0.09 | ||
| Model Forecast: |
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| Top Absolute Gamma Strikes: SPX: [3500, 3425, 3400, 3350] SPY: [350, 345, 340, 330] QQQ: [290, 285, 280, 275] NDX:[12000, 11000, 10900, 10000] SPX Combo: [3433.0, 3426.0, 3457.0, 3416.0, 3447.0] NDX Combo: [] The Volatility Trigger has moved DOWN: 3425 from: 3480 The PutWall has moved to: 3425 from: 3480 SPX resistance is: 3500 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $73.00MM from: $-25.00MM 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% |