Futures have pushed higher to 3560 with gamma levels unchanged. Once again due to large S&P gamma we anticipate a lower volatility day. We are seeing the ZeroGamma line steadily shift toward 3500 as call interest seems to be concentrating around 3600. For today we note a 3572 and 3594 as resistance, with 3547 as support.
At current prices the S&P is up about 1% for the week, which really masks some of the volatility and pain many traders felt. This chart below depicts options volumes in “Travel” names like CCL, DAL & DIS. You can see the very large spike in volumes on Monday and note many of these names have given up those Monday gains.
It appears that names like PTON and ZM are now trying to “reflate” as retail in particular works to “buy the dip”. We find this rotation interesting in regards to a post from ZeroHedge, featuring this chart of retail-owned names outfperforming.
Macro Note:
3500-3600 range into Nov OPEX.
| SIGNAL NAME | LATEST DATA | PREVIOUS | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3562 | 3537 | 356 | 11912 | 288 | ||
| VIX Ref: | 24.24 | 25.35 | |||||
| SG Gamma Index™: | 0.89 | 0.93 | 0.13 | 0.01 | -0.05 | ||
| Gamma Notional(MM): | $442.00 | $346.00 | $1,200.00 | $3.00 | $-365.00 | ||
| SGI Imp. 1 Day Move: | 0.71%, | 25.0 pts | Range: 3535.0 | 3585.0 | ||||
| SGI Imp. 5 Day Move: | 3632 | 2.23% | Range: 3551.0 | 3713.0 | ||||
| Zero Gamma Level(ES Px): | 3474 | 3450 | — | 0 | |||
| Vol Trigger™(ES Px): | 3445 | 3370 | 353 | 11650 | 290 | ||
| SG Abs. Gamma Strike: | 3500 | 3500 | 350 | 10900 | 280 | ||
| Put Wall Support: | 3200 | 3200 | 320 | 11000 | 287 | ||
| Call Wall Strike: | 3600 | 3600 | 360 | 12000 | 300 | ||
| CP Gam Tilt: | 1.4 | 1.28 | 1.45 | 1.31 | 0.73 | ||
| Delta Neutral Px: | 3312 | ||||||
| Net Delta(MM): | $13,168.00 | $12,852.00 | $2,223.00 | $393.00 | $721.00 | ||
| 25D Risk Reversal | -0.08 | -0.08 | -0.08 | -0.06 | -0.06 | ||
| Top Absolute Gamma Strikes: SPX: [3600, 3550, 3500, 3450] SPY: [355, 352, 350, 345] QQQ: [290, 287, 285, 280] NDX:[12000, 11800, 11000, 10900] SPX Combo: [3622.0, 3572.0, 3522.0, 3597.0, 3547.0] NDX Combo: [11896.0, 11591.0, 11661.0] The Volatility Trigger has moved UP: 3445 from: 3370 SPX resistance is: 3600. Support is: 3500 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $442.00MM 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% |
