Futures are bid this morning, up to 3571. We’re seeing a general shift in the options “structure” from <=3500 to >=3600 which is what we like to see to confirm higher SPX prices. 3600 is now the largest gamma strike, and ZeroGamma if shifting up under 3500.
You can see in the chart below that the bulk of positive gamma strikes are now forming around that 3600 level which indicates that the market has some pull up into that area. Total S&P gamma is quite high at $1.5bn, its interesting to note that SPY notional gamma is $1.1bn of that. This high gamma represents market support and lower volatility.
The RiskReversal indicator has seen and sizeable jump indicating call prices have increased sharply relative to puts. This seems to coincide with the “structure” shift noted above.
In distinct contrast to the S&P, Nasdaq holds negative gamma. RUT has increased to the positive side but we have not detected much call action there. While we are not able to surmise on sector rotations (tech value) we can say that call volumes in these “covid crushed” names spiked meaningfully the last several days.
Take the last 5 day call volumes in CCL (Carnival Cruise) which shows a leap in call trading (yesterdays volume is the top row). We’re now seeing some similar action in names like DIS and the airlines, with bullish looking options setups. The major “stuck at home” plays like ZM and PTON now have distinctly bearish structures.
For today we look for another fairly tight trading range on the day, with 3600 as resistance and 3500 support.
3500 – 3600 November OPEX range.
|SIGNAL NAME||LATEST DATA||PREVIOUS||SPY||NDX||QQQ|
|SG Gamma Index™:||0.98||0.86||0.19||0.00||-0.07|
|SGI Imp. 1 Day Move:||0.65%,||23.0 pts||Range: 3550 | 3600.0|
|SGI Imp. 5 Day Move:||3632||2.23%||Range: 3551.0 | 3713.0|
|Zero Gamma Level(ES Px):||3442||3441||—||0|
|Vol Trigger™(ES Px):||3445||3445||342||11450||290|
|SG Abs. Gamma Strike:||3500||3500||350||10900||280|
|Put Wall Support:||3300||3200||320||11000||280|
|Call Wall Strike:||3600||3600||360||12000||300|
|CP Gam Tilt:||1.51||1.4||1.46||1.07||0.65|
|Delta Neutral Px:||3306|
|25D Risk Reversal||-0.06||-0.06||-0.06||-0.07||-0.07|
|Top Absolute Gamma Strikes:
SPX: [3600, 3550, 3500, 3450]
SPY: [360, 355, 350, 340]
QQQ: [290, 285, 280, 275]
NDX:[12000, 11800, 11000, 10900]
SPX Combo: [3622.0, 3522.0, 3572.0, 3597.0, 3629.0]]
NDX Combo: [11896.0, 11591.0, 11661.0]
The PutWall has moved to: 3300 from: 3200
SPX resistance is: 3600. Support is: 3500 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved has moved UP: $433.00MM from: $-6.00MM
Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5%