Futures are at 3667 after holding a fairly tight range overnight. Accordingly, there was little change in SG levels with 3650-3700 remaining as the short term range. 12/18 remains a very large expiration not only for SPX but for the majority of single stocks, too. This is of note as we typically see more stocks having concentrated positions in the weekly expirations.
As a “speculative” barometer many of those very popular retail names (IDEX, PLTR, NIO, TSLA, BB) with massive call volumes have seen call volumes (and prices) drop significantly. What did initially look like an August gamma-ramp seems to have stalled out.
With 3700 remaining the upside target in the S&P we think this can either be achieved through a slow “drift”, or from the benefit from a bit of fuel – be it a boost in call volumes or a drop in implied vol (ie VIX). To the downside markets remain vulnerable to a volatility spike with a break of 3650.
Macro Note:
3500-3700 range into DEC OPEX.
| SIGNAL NAME | LATEST DATA | PREVIOUS | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3664 | 3669 | 366 | 12477 | 303 | ||
| VIX Ref: | 21.17 | 21.17 | |||||
| SG Gamma Index™: | 1.08 | 1.16 | 0.34 | 0.02 | 0.04 | ||
| Gamma Notional(MM): | $510.00 | $529.00 | $1,771.00 | $3.00 | $219.00 | ||
| SGI Imp. 1 Day Move: | 0.57%, | 20.0 pts | Range: 3647.0 | 3687.0 | ||||
| SGI Imp. 5 Day Move: | 3613 | 2.44% | Range: 3526.0 | 3702.0 | ||||
| Zero Gamma Level(ES Px): | 3547 | 3552 | — | 0 | |||
| Vol Trigger™(ES Px): | 3505 | 3505 | 359 | 11750 | 299 | ||
| SG Abs. Gamma Strike: | 3600 | 3600 | 370 | 12000 | 300 | ||
| Put Wall Support: | 3300 | 3630 | 340 | 11000 | 265 | ||
| Call Wall Strike: | 3700 | 3700 | 370 | 12000 | 310 | ||
| CP Gam Tilt: | 1.57 | 1.47 | 1.78 | 1.37 | 1.25 | ||
| Delta Neutral Px: | 3381 | ||||||
| Net Delta(MM): | $13,862.00 | $13,681.00 | $2,171.00 | $413.00 | $710.00 | ||
| 25D Risk Reversal | -0.06 | -0.06 | -0.07 | -0.04 | -0.05 | ||
| Top Absolute Gamma Strikes: SPX: [3700, 3650, 3600, 3550] SPY: [370, 365, 360, 350] QQQ: [310, 305, 300, 290] NDX:[12200, 12000, 11000, 10900] SPX Combo: [3694.0, 3646.0, 3698.0, 3672.0, 3595.0] NDX Combo: [12526.0, 12314.0, 12601.0] The PutWall has moved to: 3300 from: 3630 SPX resistance is: 3700. Support is: 3600 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $510.07MM from: $529.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
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