The chase is on. Futures are surging higher, with ES tagging 3500 (+1.7%) and NQ to 12050 (2.5%). The VIX of course has dropped sharply, too (~26.8, -10%). The bulk of our charts show some pretty amazing rebounds, with our Risk Reversal being one of the most interesting. As you can see the shift in call prices to put prices changed dramatically. It also appears that positions have filled in with the 3400 set of strikes, offering some support.
On that point the EquityHub scans are showing some large call formations, not unlike what we were seeing at the start of August. Many of these names are showing 11/20 as the large expiration, which may hint that we could be seeing this ramp extend into that date.
This may mean significant that resistance/turning points are more “time based” around expirations rather than price based. Fuel provided by the “volatility crush” could be passing baton to “call gamma” as call buyers leverage the ramp.
For today, we note 3500 as the pivot level as it’s a large area of call interest. 3550 stands out overhead as a major Combo Strike point, with smaller resistance at 3531. To the downside we highlight 3482 and 3454.
Macro Note:
3500 resistance, 3400 Zero Gamma line into 11/3 expiration
| SIGNAL NAME | LATEST DATA | PREVIOUS | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3496 | 3459 | 350 | 12056 | 286 | ||
| VIX Ref: | 26.7 | 29.57 | |||||
| SG Gamma Index™: | 0.73 | 0.72 | 0.12 | 0.01 | -0.01 | ||
| Gamma Notional(MM): | $473.00 | $346.00 | $1,372.00 | $3.00 | $-106.00 | ||
| SGI Imp. 1 Day Move: | 1.03%, | 36.0 pts | Range: 3460.0 | 3532.0 | ||||
| SGI Imp. 5 Day Move: | 3272 | 2.13% | Range: 3202.0 | 3342.0 | ||||
| Zero Gamma Level(ES Px): | 3358 | 3349 | — | 0 | |||
| Vol Trigger™(ES Px): | 3370 | 3370 | 337 | 11450 | 283 | ||
| SG Abs. Gamma Strike: | 3500 | 3500 | 350 | 10900 | 280 | ||
| Put Wall Support: | 3200 | 3200 | 310 | 9500 | 255 | ||
| Call Wall Strike: | 3500 | 3500 | 350 | 12000 | 300 | ||
| CP Gam Tilt: | 1.4 | 1.33 | 1.66 | 1.39 | 0.89 | ||
| Delta Neutral Px: | 3251 | ||||||
| Net Delta(MM): | $11,956.00 | $11,831.00 | $2,030.00 | $387.00 | $673.00 | ||
| 25D Risk Reversal | -0.1 | -0.1 | -0.09 | -0.07 | -0.07 | ||
| Top Absolute Gamma Strikes: SPX: [3500, 3450, 3400, 3350] SPY: [350, 345, 340, 330] QQQ: [300, 290, 280, 275] NDX:[12000, 11200, 11000, 10900] SPX Combo: [3554.0, 3505.0, 3529.0, 3561.0, 3564.0] NDX Combo: [12295.0, 12198.0, 12283.0] SPX resistance is: 3500 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $473.00MM from: $346.00MM 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% |
