| Futures have drifted lower overnight to 3420 and with that gamma levels drift a bit lower too. 3450 seems to be setting up as dividing line as seen here. You can see that above there are some positive gamma strikes which infers support, but we likely have negative drift if under 3450. The further we probe towards 3400 the more of a bearish tilt appears, but we must still contend with “stimulus” headlines. There are interesting synergies between the current “neutral” options market and what equities typically do into elections. While the data and movement has been a bit stagnant we’re likely having the last few days of quiet before a very busy year end. The VIX at 30 is implying an 8-9% move over the 30 days. For today 3400 remains support with 3450 resistance. We remain concerned that a break of 3400 leads to a sharper drawdown as 3400 is where gamma flips negative. |
| 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: | 3417 | 3434 | 341 | 11641 | 284 | ||
| VIX Ref: | 28.65 | 28.65 | |||||
| SG Gamma Index™: | 0.17 | 0.23 | -0.00 | 0.00 | -0.04 | ||
| Gamma Notional(MM): | $-42.00 | $25.00 | $-138.00 | $0.00 | $-284.00 | ||
| SGI Imp. 1 Day Move: | 1.11%, | 35.0 pts | Range: 3383.0 | 3451.0 | ||||
| SGI Imp. 5 Day Move: | 3497 | 2.53% | Range: 3409.0 | 3586.0 | ||||
| Zero Gamma Level(ES Px): | 3409 | 3425 | — | 0 | |||
| Vol Trigger™(ES Px): | 3435 | 3445 | 343 | 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: | 1.08 | 1.02 | 0.95 | 1.06 | 0.73 | ||
| Delta Neutral Px: | 3275 | ||||||
| Net Delta(MM): | $11,143.00 | $11,231.00 | $1,766.00 | $343.00 | $642.00 | ||
| 25D Risk Reversal | -0.09 | -0.1 | -0.09 | -0.09 | -0.09 | ||
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3500, 3450, 3425, 3400] SPY: [350, 345, 342, 340] QQQ: [290, 285, 280, 275] NDX:[12000, 11000, 10900, 10000] SPX Combo: [3473.0, 3398.0, 3422.0, 3402.0, 3408.0] NDX Combo: [11421.0, 11503.0] The Volatility Trigger has moved DOWN: 3435 from: 3445 SPX is below the Volatility Trigger™. The 3409.0 level is first level of resistance and is critical as its the negative gamma threshold. The trigger level of: 3435 will act as overhead resistance. Watching VIX is key, if volatility comes in dealers will start to buy back shares as their short puts lose value. This could start a rally. The total gamma has moved DOWN: $-41.77MM from: $24.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |
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