Futures have pressed back to just over 3600 overnight. The Call Wall did not shift higher, so we again mark 3600 as the resistance/pin area. Yesterday we mentioned the different tone to markets after the Moderna news, and todays options data is surprisingly skewed to calls in a way we have not seen post covid – crash. These are interesting data points given the SPX is near all time highs, with VIX expiration tomorrow and SPX expiration Friday. This is not to say that these metrics tilted to calls is bearish, its just important to note this sentiment as we head into OPEX and the “unpinning” often associated with it.
First is our metric of the Risk Reversal, which shows that call prices have matched previous highs vs puts:
Next is our Gamma Tilt metric, which is reflated past its level of just a week ago (red line):
Lastly we’d note the SG Index is making fresh 30 day highs. Last week we mentioned this area as a glass ceiling of sorts. Note the red line is todays reading, with orange dots being the last 30 days:
Our major risk indicator is the gamma flip level which remains well below current SPX prices at 3500. We have a robust amount of positive gamma in the S&P ( ~$1.9bn SPY+SPX) which should be supportive of prices into 11/20.
For today, 3600 is the key pivot level which we again look for the S&P to pin. Overhead we see resistance at 3622 with a large support area at 3583.
Lastly, our obligatory TSLA mention. The stock is back in focus today as the S&P announced its inclusion into the S&P500 for 12/21. We’ll have a full write up on this later today – but for now we’d note that 500 is the strike with the most calls.
Macro Note:
3500-3600 range into Nov OPEX.
| SIGNAL NAME | LATEST DATA | PREVIOUS | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3605 | 3628 | 360 | 12032 | 293 | ||
| VIX Ref: | 23.07 | 22.45 | |||||
| SG Gamma Index™: | 1.36 | 1.19 | 0.31 | 0.03 | -0.00 | ||
| Gamma Notional(MM): | $543.00 | $691.00 | $1,404.00 | $5.00 | $-15.00 | ||
| SGI Imp. 1 Day Move: | 0.83%, | 30.0 pts | Range: 3574.0 | 3636.0 | ||||
| SGI Imp. 5 Day Move: | 3618 | 2.39% | Range: 3532.0 | 3705.0 | ||||
| Zero Gamma Level(ES Px): | 3490 | 3459 | — | 0 | |||
| Vol Trigger™(ES Px): | 3395 | 3395 | 342 | 11575 | 291 | ||
| SG Abs. Gamma Strike: | 3600 | 3500 | 350 | 12000 | 280 | ||
| Put Wall Support: | 3200 | 3200 | 320 | 11000 | 280 | ||
| Call Wall Strike: | 3600 | 3600 | 360 | 12000 | 300 | ||
| CP Gam Tilt: | 1.88 | 1.73 | 1.61 | 1.54 | 0.99 | ||
| Delta Neutral Px: | 3327 | ||||||
| Net Delta(MM): | $13,830.00 | $13,616.00 | $2,345.00 | $405.00 | $698.00 | ||
| 25D Risk Reversal | -0.05 | -0.06 | -0.08 | -0.07 | -0.07 | ||
| Top Absolute Gamma Strikes: SPX: [3650, 3600, 3550, 3500] SPY: [362, 360, 355, 350] QQQ: [300, 290, 285, 280] NDX:[12150, 12000, 11800, 10900] SPX Combo: [3583.0, 3630.0, 3604.0, 3655.0, 3622.0] NDX Combo: [11896.0, 11591.0, 11661.0] SPX is above the Volatility Trigger™, resistance is: 3600 Support is: 3600 The total gamma has moved DOWN: $543.01MM from: $690.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
