| As anticipated there was little change overnight in options levels. Futures are up over 3450 despite Trump tweeting doubts on a stimulus deal. The OI Change charts reflect the small change in volume and interest which is similar to what has printed all week. From an options positioning perspective this has been one of the most stagnant periods we can recall. The open interest for next week into 11/20 remains dormant, but we’d expect that to pick up into 10/30 and start to push around key levels. We still see 3500 as the upper band of the range into elections due to the gamma concentrated there. The downside remains more “open” simply due to the hedging dynamic of large put positions that reside in December. For today we note a large Combo Strike resistance level at 3486, with 3450 first support. If markets open under 3450 we look to 3400 as support. |
| Market Outlook: |
| 3500 top into 11/3, with 3400 support. Under 3400 could see a large expansion in volatility. |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
| Ref Price: | 3442 | 3448 | 344 | 11632 | 284 | ||
| VIX Ref: | 28.11 | 28.11 | |||||
| SG Gamma Index™: | 0.32 | 0.17 | 0.04 | 0.00 | -0.04 | ||
| Gamma Notional(MM): | $97.00 | $117.00 | $269.00 | $0.00 | $-276.00 | ||
| SGI Imp. 1 Day Move: | .77%, | 26.0 pts | Range: 3418.0 | 3476.0 | ||||
| SGI Imp. 5 Day Move: | 3497 | 2.53% | Range: 3409.0 | 3586.0 | ||||
| Zero Gamma Level(ES Px): | 3407 | 3414 | — | 0 | |||
| Vol Trigger™(ES Px): | 3435 | 3435 | 342 | 11475 | 285 | ||
| 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: | 1.16 | 1.1 | 1.1 | 1.06 | 0.75 | ||
| Delta Neutral Px: | 3273 | ||||||
| Net Delta(MM): | $11,218.00 | $11,244.00 | $1,799.00 | $353.00 | $646.00 | ||
| 25D Risk Reversal | -0.09 | -0.09 | -0.1 | -0.08 | -0.08 | ||
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3500, 3450, 3425, 3400] SPY: [350, 345, 342, 340] QQQ: [287, 285, 282, 280] NDX:[12000, 11000, 10900, 10000] SPX Combo: [3486.0, 3493.0, 3411.0, 3459.0] NDX Combo: [11442.0, 11524.0] SPX resistance is: 3500 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $97.03MM from: $117.00MM 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% |