Strong mean revertive moves today in the SPX which closed down slightly on the day. The VIX finished back on those post-Covid lows, with SPX options volume decent at 1.1mm contracts. The VIX breaking 20 may be the precursor to this market making a run at 3700.
We also mentioned wanting to see stronger “breadth” in call buying. You can see below the top options volume by ticker for last week. You get a strong sense of the speculative action with 4 of the top 10 being pure retail “chasing” names.
Macro Note:
3500-3700 range into DEC OPEX.
| SIGNAL NAME | LATEST DATA | PREVIOUS | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3629 | 3613 | 361 | 12300 | 299 | ||
| VIX Ref: | 20.53 | 14 | |||||
| SG Gamma Index™: | 0.92 | 0.91 | 0.27 | 0.01 | 0.02 | ||
| Gamma Notional(MM): | $391.00 | $291.00 | $1,156.00 | $2.00 | $155.00 | ||
| SGI Imp. 1 Day Move: | 1.0%, | 36.0 pts | Range: 3593.0 | 3665.0 | ||||
| SGI Imp. 5 Day Move: | 3613 | 2.44% | Range: 3526.0 | 3702.0 | ||||
| Zero Gamma Level(ES Px): | 3539 | 3551 | — | 0 | |||
| Vol Trigger™(ES Px): | 3470 | 3470 | 356 | 11750 | 294 | ||
| SG Abs. Gamma Strike: | 3600 | 3600 | 370 | 12000 | 300 | ||
| Put Wall Support: | 3300 | 3300 | 355 | 11000 | 265 | ||
| Call Wall Strike: | 3700 | 3700 | 370 | 12000 | 300 | ||
| CP Gam Tilt: | 1.48 | 1.23 | 1.48 | 1.24 | 1.21 | ||
| Delta Neutral Px: | 3349 | ||||||
| Net Delta(MM): | $13,373.00 | $13,317.00 | $2,048.00 | $393.00 | $641.00 | ||
| 25D Risk Reversal | -0.06 | -0.06 | -0.08 | -0.05 | -0.06 | ||
| Top Absolute Gamma Strikes: SPX: [3650, 3600, 3550, 3500] SPY: [370, 363, 360, 350] QQQ: [300, 295, 290, 280] NDX:[12000, 11600, 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 has moved UP: $391.00MM from: $290.00MM 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% |
