Futures have pulled back a bit to 3485 after testing 3460 overnight. The VIX has bounced too, up to 28.50. The Call Wall did not shift higher indicating the market needs some time to consolidate here. Despite this, positive gamma has spiked meaningfully the last several days and our SG Gamma Index is showing one of its highest readings over the last month. Accordingly the implied move for today is just 55bps, which is a stark contrast to the movement we have been seeing.
You can see in the bottom pane below the large spike in 5 day realized volatility due hedging into the election, and the snap back rally. If the market complies with the SG implied move, that should lead to a sharp decline in realized volatility. This would further pressure forward (implied) volatility (i.e. the VIX) and provide a tailwind for markets in the days ahead.
As stated above we do anticipate a fairly tight trading range today. Resistance is at 3500 with support at 3464 and 3450.
Macro Note:
3500 resistance, 3400 Zero Gamma line into 11/3 expiration
| SIGNAL NAME | LATEST DATA | PREVIOUS | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3472 | 3512 | 347 | 11953 | 294 | ||
| VIX Ref: | 28.67 | 27.58 | |||||
| SG Gamma Index™: | 1.13 | 0.74 | 0.22 | 0.01 | 0.01 | ||
| Gamma Notional(MM): | $314.00 | $521.00 | $804.00 | $2.00 | $2.00 | ||
| SGI Imp. 1 Day Move: | 0.55%, | 19.0 pts | Range: 3453.0 | 3491.0 | ||||
| SGI Imp. 5 Day Move: | 3272 | 2.13% | Range: 3202.0 | 3342.0 | ||||
| Zero Gamma Level(ES Px): | 3386 | 3348 | — | 0 | |||
| Vol Trigger™(ES Px): | 3370 | 3370 | 342 | 11450 | 289 | ||
| SG Abs. Gamma Strike: | 3500 | 3500 | 350 | 10900 | 280 | ||
| Put Wall Support: | 3200 | 3200 | 310 | 11000 | 255 | ||
| Call Wall Strike: | 3500 | 3500 | 350 | 12000 | 300 | ||
| CP Gam Tilt: | 1.7 | 1.32 | 1.31 | 1.24 | 1.0 | ||
| Delta Neutral Px: | 3277 | ||||||
| Net Delta(MM): | $12,384.00 | $12,010.00 | $2,145.00 | $405.00 | $733.00 | ||
| 25D Risk Reversal | -0.1 | -0.1 | -0.09 | -0.05 | -0.08 | ||
| Top Absolute Gamma Strikes: SPX: [3600, 3500, 3450, 3400] SPY: [352, 350, 345, 340] QQQ: [300, 295, 290, 280] NDX:[12000, 11800, 11000, 10900] SPX Combo: [3464.0, 3512.0, 3488.0, 3537.0, 3415.0] NDX Combo: [12171.0, 11872.0, 11968.0, 12051.0, 11765.0] SPX resistance is: 3500 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $521MM from: $354MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is .5% |
