Futures are flat to the cash close, with key SG levels unchanged. The Call Wall which is our resistance point remains at 3600. Yesterday we mentioned three indicators that made fresh “call tilted” highs: the SG Index, risk reversal, and Gamma Tilt. All three reversed yesterday. This is not terribly surprising given the down market yesterday, but its quite interesting as we head into OPEX. Call OI does seem to be slowly filling in overhead as you can see the chart below. Note the strikes>3600 are nearly as large in gamma terms as 3600, but our model needs to see that Call Wall shift higher to confirm higher prices.
The other data point that stands out here is how far below the Zero Gamma level is from current SPX prices. We generally like to see the Zero Gamma area shadow SPX prices as they move higher. This indicates that hedges are filling in underneath, and we think that provides for a “healthier” rally.
The divergence is similar to something we saw this past August. Its possible that this level failing to shift higher is signaling an air pocket of sorts down to 3400.
Fridays expiration likely helps to resolve what we’d consider to be a poor options structure. If options interest can consolidate around this level that could indicate a more solid base for higher SPX prices, but the current data seems to suggest decent resistance overhead with not much support down through 3400. We think this is resolved, one way or the other, next week.
For today we look for volatility levels and market action similar to the last several days with 3600 the key area. There are three distinct price areas to note: 3628 resistance, 3578 support, and there is a thick band of Combo Strike levels from 3603-3610.
Macro Note:
3500-3600 range into Nov OPEX.
| SIGNAL NAME | LATEST DATA | PREVIOUS | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3594 | 3610 | 359 | 11945 | 292 | ||
| VIX Ref: | 22.71 | 22.71 | |||||
| SG Gamma Index™: | 1.25 | 1.36 | 0.29 | 0.04 | -0.01 | ||
| Gamma Notional(MM): | $465.00 | $565.00 | $1,282.00 | $5.00 | $-45.00 | ||
| SGI Imp. 1 Day Move: | 0.83%, | 30.0 pts | Range: 3564.0 | 3624.0 | ||||
| SGI Imp. 5 Day Move: | 3618 | 2.39% | Range: 3532.0 | 3705.0 | ||||
| Zero Gamma Level(ES Px): | 3505 | 3494 | — | 0 | |||
| Vol Trigger™(ES Px): | 3445 | 3395 | 342 | 11490 | 290 | ||
| SG Abs. Gamma Strike: | 3600 | 3600 | 360 | 12000 | 280 | ||
| Put Wall Support: | 3300 | 3200 | 320 | 9500 | 280 | ||
| Call Wall Strike: | 3600 | 3600 | 362 | 12000 | 300 | ||
| CP Gam Tilt: | 1.67 | 1.52 | 1.48 | 1.45 | 0.96 | ||
| Delta Neutral Px: | 3342 | ||||||
| Net Delta(MM): | $13,824.00 | $13,847.00 | $2,322.00 | $409.00 | $698.00 | ||
| 25D Risk Reversal | -0.06 | -0.05 | -0.08 | -0.07 | -0.07 | ||
| Top Absolute Gamma Strikes: SPX: [3650, 3600, 3550, 3500] SPY: [362, 360, 355, 350] QQQ: [295, 290, 285, 280] NDX:[12150, 12000, 11800, 10900] SPX Combo: [3578.0, 3628.0, 3603.0, 3610.0, 3653.0] NDX Combo: [11896.0, 11591.0, 11661.0] The Volatility Trigger has moved UP: 3445 from: 3395 The PutWall has moved to: 3300 from: 3200 SPX resistance is: 3600 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $465.40MM from: $564.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
