Both ES futures and SG levels are little changed to start this half day session. 3700 has grown in gamma size which suggest that the SPX options structure is shifting higher and SPX prices should follow.
Today appears to be a very small expiration in equities with only a small percentage of names having large delta or gamma rolling off. This implies there is not much reason for single stock volatility here.While we are getting some definite similarities to the August call ramp, our updated data suggests there is still not much (relative to Aug) call activity in more broadly traded names like FAANGS. If the call trading picks up in names that are more heavily indexed it could start to provide more of a bump to SPX/NQ.
The other item to note here is realized volatility tailing off. VIX remains elevated, but it may come under pressure as/if the realized volatility windows continue to trend lower.
In aggregate we just don’t see a short term reason for a reversal of trend. 3700 remains as the upside target, with 3600 major support. There is a lot of gamma tied to 3650 as well, which may serve as a key level in todays trading.
Macro Note:
3500-3700 range into DEC OPEX.
| SIGNAL NAME | LATEST DATA | PREVIOUS | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3629 | 3635 | 362 | 12182 | 296 | ||
| VIX Ref: | 21.25 | 21.25 | |||||
| SG Gamma Index™: | 0.47 | 0.47 | 0.31 | 0.01 | 0.03 | ||
| Gamma Notional(MM): | $221.00 | $229.00 | $1,723.00 | $2.00 | $154.00 | ||
| SGI Imp. 1 Day Move: | 0.9%, | 33.0 pts | Range: 3596.0 | 3662.0 | ||||
| SGI Imp. 5 Day Move: | 3564 | 1.96% | Range: 3494.0 | 3634.0 | ||||
| Zero Gamma Level(ES Px): | 3487 | 3466 | — | 0 | |||
| Vol Trigger™(ES Px): | 3445 | 3445 | 356 | 11750 | 293 | ||
| SG Abs. Gamma Strike: | 3600 | 3600 | 363 | 10900 | 300 | ||
| Put Wall Support: | 3300 | 3300 | 355 | 11000 | 265 | ||
| Call Wall Strike: | 3700 | 3700 | 370 | 12000 | 300 | ||
| CP Gam Tilt: | 1.38 | 1.32 | 1.71 | 1.2 | 1.17 | ||
| Delta Neutral Px: | 0 | ||||||
| Net Delta(MM): | $11,084.00 | $11,102.00 | $2,070.00 | $384.00 | $644.00 | ||
| 25D Risk Reversal | -0.06 | -0.06 | -0.07 | -0.05 | -0.05 | ||
| Top Absolute Gamma Strikes: SPX: [3600, 3550, 3500, 3400] SPY: [370, 363, 360, 350] QQQ: [300, 295, 290, 280] NDX:[12000, 11300, 11000, 10900] SPX Combo: [3694.0, 3592.0, 3643.0, 3698.0, 3669.0] NDX Combo: [12399.0, 12192.0, 12083.0] SPX resistance is: 3700. Support is: 3600 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $221.42MM from: $228.00MM 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% |
