| Both futures and SpotGamma levels are little changed overnight. Much like yesterday market movements may be dictated by stimulus headlines. With current options positioning the 3400-3500 range is quite flat in gamma terms, meaning we wont see a material change unless we break under 3400 or over 3500. This situation is much the same as its been for several days. Its interesting that we enter this election homestretch with such a neutral options setup. The November monthly OPEX still has surprisingly light positions with 800k puts and 400k calls. Compare this to Dec with 2.6mm and 1.4mm respectively. The fact that the bulk of positions are still 2 months out is a large reason for gamma levels being deflated. I’d suspect that Nov expiration ticks up materially into the election.
For today we watch 3500 as the key upside target. 3400 remains the major downside level. A break there could open the door to a large drawdown. On an admin note we wanted to point out a useful feature for actively monitoring our key options levels. If you navigate to the Portal and scroll to the bottom you will see a “popup” feature. This window refreshes each day automatically. |
| Market Outlook: |
| New range established next week. |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
| Ref Price: | 3452 | 3432 | 344 | 11709 | 284 | ||
| VIX Ref: | 29.35 | 29.35 | |||||
| SG Gamma Index™: | 0.23 | 0.03 | 0.03 | 0.00 | -0.03 | ||
| Gamma Notional(MM): | $135.00 | $64.00 | $236.00 | $1.00 | $-242.00 | ||
| SGI Imp. 1 Day Move: | 1.15%, | 39.0 pts | Range: 3412.0 | 3489.0 | ||||
| SGI Imp. 5 Day Move: | 3497 | 2.53% | Range: 3409.0 | 3586.0 | ||||
| Zero Gamma Level(ES Px): | 3418 | 3398 | — | 0 | |||
| Vol Trigger™(ES Px): | 3445 | 3425 | 345 | 11475 | 287 | ||
| SG Abs. Gamma Strike: | 3500 | 3500 | 350 | 10900 | 280 | ||
| Put Wall Support: | 3425 | 3425 | 340 | 10000 | 280 | ||
| Call Wall Strike: | 3500 | 3500 | 350 | 12000 | 300 | ||
| CP Gam Tilt: | 1.12 | 1.06 | 1.09 | 1.08 | 0.75 | ||
| Delta Neutral Px: | 3283 | ||||||
| Net Delta(MM): | $11,293.00 | $11,073.00 | $1,805.00 | $340.00 | $639.00 | ||
| 25D Risk Reversal | -0.1 | -0.1 | -0.09 | -0.08 | -0.08 | ||
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3525, 3500, 3450, 3400] SPY: [350, 345, 340, 330] QQQ: [290, 285, 280, 275] NDX:[12000, 11000, 10900, 10000] SPX Combo: [3500.0, 3424.0, 3510.0, 3507.0] NDX Combo: [] The Volatility Trigger has moved UP: 3445 from: 3425 SPX resistance is: 3500 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $135.00MM from: $63.00MM 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% |