Futures have broken higher, tagging 3310 after an overnight low near 3350. Recall we were anticipating a bit more of a positive skew to data this morning given the heavy call trading on Friday. However, it was not call additions but put closures that pushes the gamma data more neutral. You can see strikes from 3250-3500 all saw puts net closed, and while we pegged calls as the late day catalyst for dealers buying it was more likely these in the money puts.
Additionally these puts closures are why the Volatility Trigger has pushed down to 3265 from 3370. That is a huge jump and may indicate the election “bull/bear” line is 3270. The 3400 area we had pegged last week as the “danger line” has now been dropped to 3300. Essentially we now have a “neutral” at-the-money options position as opposed to a negative one.
For today we do see a big range in prices with 3300 the key strike. More large hedges (both calls and puts) are expected which could cause rapid fluctuations. There is little in the way of gamma positions overhead, with light options based resistance at 3325 and then 3370. Support below is 3270 and 3250.
Macro Note:
3400 resistance, 3300 Zero Gamma line, 3270 support into 11/3 expiration
| SIGNAL NAME | LATEST DATA | PREVIOUS | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3272 | 3278 | 327 | 11073 | 269 | ||
| VIX Ref: | 37.1 | 39 | |||||
| SG Gamma Index™: | -0.82 | -0.36 | -0.18 | -0.01 | -0.08 | ||
| Gamma Notional(MM): | $-221.00 | $-415.00 | $-379.00 | $-2.00 | $-394.00 | ||
| SGI Imp. 1 Day Move: | 2.3%, | 77.0 pts | Range: 3200.0 | 3350.0 | ||||
| SGI Imp. 5 Day Move: | 3272 | 2.13% | Range: 3202.0 | 3342.0 | ||||
| Zero Gamma Level(ES Px): | 3313 | 3313 | — | 0 | |||
| Vol Trigger™(ES Px): | 3265 | 3370 | 332 | 11450 | 276 | ||
| SG Abs. Gamma Strike: | 3250 | 3300 | 325 | 10900 | 267 | ||
| Put Wall Support: | 3250 | 3200 | 325 | 10000 | 267 | ||
| Call Wall Strike: | 3500 | 3500 | 350 | 12000 | 300 | ||
| CP Gam Tilt: | 0.67 | 0.72 | 0.85 | 0.83 | 0.58 | ||
| Delta Neutral Px: | 3280 | ||||||
| Net Delta(MM): | $11,064.00 | $11,096.00 | $1,882.00 | $356.00 | $656.00 | ||
| 25D Risk Reversal | -0.13 | -0.12 | -0.13 | -0.1 | -0.11 | ||
| Top Absolute Gamma Strikes: SPX: [3300, 3250, 3200, 3000] SPY: [330, 325, 320, 310] QQQ: [280, 267, 260, 255] NDX:[12000, 11200, 10900, 10000] SPX Combo: [3269.0, 3220.0, 3259.0, 3243.0, 3276.0] NDX Combo: [11014.0, 10937.0, 11059.0, 11136.0] The Volatility Trigger has moved DOWN: 3265 from: 3370 The PutWall has moved to: 3250 from: 3200 SPX resistance is: 3500. Support is: 3250 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $-222.00MM from: $-416.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |
