Futures are holding yesterdays close, with gamma levels remaining positive but at a discount to yesterdays. Our flip line still remain down at 3400, with 3500 being the largest gamma strike on the board and therefore major support. 3600 stays as the top of the range into 11/20 expiration.
The disparity in index movement was a hot topic yesterday, with IWM outperforming Q’s. We’d note that both of those indicies enter the day with flat to negative gamma positions, which is in contrast to the S&P which is strongly positive. This infers that we can again expect more volatility in QQQ/IWM today vs the SPX.
Scanning through yesterdays charts its most notable that yesterdays volatility will not be captured in many of the metrics due to the move from Fridays close to Mondays close being only about 1%. Coinciding with price charts and volatility metrics not reflecting the move, our data appears little changed. There seems to be a general desire to depict yesterdays action as a possible topping point due to the magnitude of the reversal. However, our updated levels do not seem to reflect elevated risk at current prices. There was undoubtedly some reduction in call:put positions, but it appears benign particularly considering the size of yesterdays move.
For today we do not anticipate large volatility with an SG implied move of just under 1%. Key support is at 3522 and 3500. Resistance 3550 and 3571.
Macro Note:
3600 resistance, 3400 Zero Gamma line into 11/20 expiration
| SIGNAL NAME | LATEST DATA | PREVIOUS | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3526 | 3549 | 351 | 11738 | 288 | ||
| VIX Ref: | 25.75 | 25.75 | |||||
| SG Gamma Index™: | 0.94 | 1.04 | 0.17 | 0.01 | -0.05 | ||
| Gamma Notional(MM): | $298.00 | $575.00 | $694.00 | $1.00 | $-328.00 | ||
| SGI Imp. 1 Day Move: | 0.84%, | 26.0 pts | Range: 3497.0 | 3555.0 | ||||
| SGI Imp. 5 Day Move: | 3632 | 2.23% | Range: 3551.0 | 3713.0 | ||||
| Zero Gamma Level(ES Px): | 3439 | 3384 | — | 0 | |||
| Vol Trigger™(ES Px): | 3395 | 3395 | 342 | 11700 | 290 | ||
| SG Abs. Gamma Strike: | 3500 | 3500 | 350 | 10900 | 280 | ||
| Put Wall Support: | 3200 | 3200 | 320 | 11000 | 280 | ||
| Call Wall Strike: | 3600 | 3600 | 360 | 12000 | 300 | ||
| CP Gam Tilt: | 1.56 | 1.62 | 1.28 | 1.12 | 0.73 | ||
| Delta Neutral Px: | 3279 | ||||||
| Net Delta(MM): | $12,770.00 | $12,488.00 | $2,111.00 | $388.00 | $708.00 | ||
| 25D Risk Reversal | -0.07 | -0.09 | -0.06 | -0.06 | -0.06 | ||
| Top Absolute Gamma Strikes: SPX: [3600, 3500, 3450, 3400] SPY: [360, 355, 350, 340] QQQ: [290, 285, 280, 275] NDX:[12000, 11800, 11000, 10900] SPX Combo: [3571.0, 3472.0, 3522.0, 3546.0, 3497.0] NDX Combo: [11896.0, 11591.0, 11661.0] SPX resistance is: 3600. Support is: 3500 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $297.71MM from: $575.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
