Futures were quiet overnight and are holding 3650. That support zone we have been watching at 3600 has started to shift to 3650, which indicates that 3650 now needs to hold to cap a larger expansion in volatility. That being said the data does not support a large drawdown immediately from these price levels, and 3700 remains the upside target.
While SG levels are fairly unchanged there are some things shaking under the hood. Most notably is the Put Wall, which jumped significantly. There wasn’t a particularly large trade at 3630 – just a net add of 8k contracts. What it does reflect is that it only took a relatively small put position to register as the largest negative gamma strike on the board.
Recall the chart below from the OCC of call vs put premiums, and the chasm between those levels. While these shifts are likely not todays problem there is some definite erosion to the options structure underneath. We wonder if the best time to hedge is when no one else wants to do it.
For today the data supports another fairly tight trading range, with support at 3650 and first resistance at 3663. Should that 3663 area break the next level is 3689, which should be a pinning area due to large interest there.
3500-3700 range into DEC OPEX.
|SIGNAL NAME||LATEST DATA||PREVIOUS||SPY||NDX||QQQ|
|SG Gamma Index™:||1.15||0.81||0.33||0.02||0.03|
|SGI Imp. 1 Day Move:||0.87%,||31.0 pts||Range: 3615.0 | 3689.0|
|SGI Imp. 5 Day Move:||3613||2.44%||Range: 3526.0 | 3702.0|
|Zero Gamma Level(ES Px):||3561||3542||—||0|
|Vol Trigger™(ES Px):||3505||3505||362||11750||298|
|SG Abs. Gamma Strike:||3600||3600||370||12000||300|
|Put Wall Support:||3630||3300||340||11000||265|
|Call Wall Strike:||3700||3700||370||12000||310|
|CP Gam Tilt:||1.63||1.52||1.68||1.31||1.25|
|Delta Neutral Px:||3370|
|25D Risk Reversal||-0.06||-0.05||-0.07||-0.04||-0.04|
|Top Absolute Gamma Strikes:
SPX: [3700, 3650, 3600, 3550]
SPY: [370, 365, 364, 360]
QQQ: [310, 300, 290, 280]
NDX:[12200, 12000, 11000, 10900]
SPX Combo: [3689.0, 3663.0, 3642.0, 3693.0, 3590.0]
NDX Combo: [12503.0, 12590.0, 12304.0]
The PutWall has moved to: 3630 from: 3300
SPX resistance is: 3700. Support is: 3600 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved DOWN: $426.03MM from: $534.00MM
Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5%