Futures have shifted higher testing the 3400 area. There was obviously a lot of volatility overnight with a high of 3420 and a low of 3320. It seems as it will be few days at best for this election to officially resolve. The VIX is being crushed down to 31.50 which will likely place upward pressure on the markets as “vanna” kicks in (implied vols crushes the short puts, and call values increase).
Gamma is marginally positive and we mark 3300 as the key gamma flip line. The “air pocket” of light options structure remains from 3375-3300 which indicates no real support under 3375. “No support” is different from dealer selling pressure. Its under 3300 where dealers may start adding shorts, as opposed to under 3375 where they would simply “not offer support”.
Its obviously set to be a volatile day with markets swinging on various headlines. Its clear that 3375-3400 has become a “fair value” of sorts with support at 3356, then 3300. Above we note resistance at the large Combo strike of 3419. 3500 remains the short term overhead target on a rally.
Macro Note:
3500 resistance, 3400 Zero Gamma line into 11/3 expiration
| SIGNAL NAME | LATEST DATA | PREVIOUS | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3380 | 3388 | 337 | 11474 | 274 | ||
| VIX Ref: | 33.04 | 35.55 | |||||
| SG Gamma Index™: | 0.38 | 0.38 | 0.03 | -0.00 | -0.04 | ||
| Gamma Notional(MM): | $71.00 | $94.00 | $389.00 | $0.00 | $-312.00 | ||
| SGI Imp. 1 Day Move: | 1.1%, | 37.0 pts | Range: 3343.0 | 3417.0 | ||||
| SGI Imp. 5 Day Move: | 3272 | 2.13% | Range: 3202.0 | 3342.0 | ||||
| Zero Gamma Level(ES Px): | 3346 | 3329 | — | 0 | |||
| Vol Trigger™(ES Px): | 3280 | 3280 | 333 | 11450 | 274 | ||
| SG Abs. Gamma Strike: | 3400 | 3400 | 350 | 10900 | 280 | ||
| Put Wall Support: | 3000 | 3000 | 320 | 10000 | 255 | ||
| Call Wall Strike: | 3600 | 3600 | 350 | 12000 | 300 | ||
| CP Gam Tilt: | 1.16 | 1.06 | 1.16 | 1.05 | 0.69 | ||
| Delta Neutral Px: | 3263 | ||||||
| Net Delta(MM): | $15,779.00 | $15,819.00 | $1,982.00 | $350.00 | $651.00 | ||
| 25D Risk Reversal | -0.14 | -0.14 | -0.13 | -0.12 | -0.11 | ||
| Top Absolute Gamma Strikes: SPX: [3500, 3400, 3350, 3300] SPY: [350, 345, 340, 320] QQQ: [280, 275, 260, 255] NDX:[12000, 11000, 10900, 10000] SPX Combo: [3419.0, 3356.0,3296.0, 3246.0, 3286.0, 3270.0, 3303.0] NDX Combo: [11017.0, 10939.0, 11061.0, 11139.0] SPX resistance is: 3400 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $71.15MM from: $93.00MM 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% |
