Futures are flat to last nights close at 3566, with a large shifts in SG levels. First we’d note the Call Wall has jumped to 3700. This is a function of 27k puts being added to the 3600 strike yesterday. Generally, we read the Call Wall going higher as a bullish signal, however the fact that it shifts 100 strikes overhead is anomalous, particularly when it happens after a day with a high PC volume ratio. The wall moving up due to the addition of ATM puts is different from OTM call additions. Its almost like implied vols widening out ahead of an event.
To this point, consider the reversal in our two tilt charts: Gamma & Delta. Both dropped precipitously which indicates that both ATM calls and ITM calls were hit rather hard yesterday. While these major Tilt reversals can provide a false “SPX decline” signal, we consider these reversals a precursor to material market declines. In other words: sometimes the Tilt indicators are wrong, but reversals coincide with almost all market selloffs.
While the data did shift hard toward the put side, markets are still right in the middle of our quoted range (3500-3600) into 11/20 OPEX and one could view the markets as simply consolidating. Data suggests that the week leading into OPEX is generally a lower volatility period, with an expansion in volatility the following week. We obviously believe that to be the case here, and while we try to be “directionally” impartial we cant help but view the options data as flashing red. Risk is high.
For today 3600 remains resistance into Fridays close, and we are using 3500 as the Zero Gamma flip point.
3500-3600 range into Nov OPEX.
|SIGNAL NAME||LATEST DATA||PREVIOUS||SPY||NDX||QQQ|
|SG Gamma Index™:||0.72||1.23||0.15||0.03||-0.04|
|SGI Imp. 1 Day Move:||1.03%,||35.0 pts||Range: 3531.0 | 3601.0|
|SGI Imp. 5 Day Move:||3618||2.39%||Range: 3532.0 | 3705.0|
|Zero Gamma Level(ES Px):||3504||3500||—||0|
|Vol Trigger™(ES Px):||3445||3445||354||11670||292|
|SG Abs. Gamma Strike:||3600||3600||350||12000||290|
|Put Wall Support:||3200||3300||340||9500||280|
|Call Wall Strike:||3700||3600||363||12000||300|
|CP Gam Tilt:||1.31||1.18||1.3||1.32||0.82|
|Delta Neutral Px:||3340|
|25D Risk Reversal||-0.06||-0.06||-0.08||-0.07||-0.06|
|Top Absolute Gamma Strikes:
SPX: [3600, 3575, 3550, 3500]
SPY: [360, 357, 355, 350]
QQQ: [292, 290, 285, 280]
NDX:[12000, 11800, 11700, 10900]
SPX Combo: [3600.0, 3625.0, 3575.0, 3550.0, 3500.0]
NDX Combo: [11896.0, 11591.0, 11661.0]
The PutWall has moved to: 3200 from: 3300
The Call Wall has moved to: 3700 from: 3600
SPX resistance is: 3600 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved has moved UP: $268.00MM from: $259.00MM
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%