Our 3600 target appears to have been achieved as futures are markedly higher at 3615. 3600 remains the largest gamma strike and is a level that should remain into play through 11/20. As it is expiration week we generally look for low volatility levels as SPX dealer flow tightens around large OI strikes. Those strikes for Fridays monthly OPEX are 3500, 3550 and 3600. Additionally, the Call Wall remains at 3600 which our model suggests is a resistance/pin point. This all suggests that over 3600 the market is possibly overextended, and unless there is some material news we would anticipate a reversion back into the 3500-3600 zone much like last week. However, if the Call Wall rolls higher it would confirm these higher prices.
For today we note a large resistance line at 3635 with support at 3609 and 3584.
Macro Note:
3500-3600 range into Nov OPEX.
| SIGNAL NAME | LATEST DATA | PREVIOUS | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3612 | 3556 | 356 | 11912 | 288 | ||
| VIX Ref: | 14 | 24.37 | |||||
| SG Gamma Index™: | 1.18 | 0.89 | 0.13 | 0.01 | -0.05 | ||
| Gamma Notional(MM): | $644.00 | $411.00 | $1,900.00 | $3.00 | $-176.00 | ||
| SGI Imp. 1 Day Move: | 0.86%, | 30.0 pts | Range: 3583.0 | 3641.0 | ||||
| SGI Imp. 5 Day Move: | 3612 | 2.35% | Range: 3528.0 | 3697.0 | ||||
| Zero Gamma Level(ES Px): | 3470 | 3468 | — | 0 | |||
| Vol Trigger™(ES Px): | 3395 | 3445 | 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: | 1.65 | 1.33 | 1.45 | 1.31 | 0.73 | ||
| Delta Neutral Px: | 3308 | ||||||
| Net Delta(MM): | $13,558.00 | $13,146.00 | $2,223.00 | $393.00 | $721.00 | ||
| 25D Risk Reversal | -0.06 | -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: [3635.0, 3685.0, 3660.0, 3584.0, 3609.0] NDX Combo: [11896.0, 11591.0, 11661.0] The Volatility Trigger has moved DOWN: 3395 from: 3445 SPX is above the Volatility Trigger™, resistance is: 3600 Support is: 3600 The total gamma has moved has moved UP: $643.00MM from: $411.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
