Futures are off slightly after an initial opening that set a record high of 3703. 3700 stands as the Call Wall, but size did built at 3750 showing call activity overhead. This infers we could see the Call Wall soon roll to that 3750 strike and open the door to a higher SPX range.
There was little movement in the gamma flip levels, so we have a fairly substantial 100 point gap to Zero Gamma (3600). As you can see below most of that positive gamma sits >3675 which indicates dealers will offer little to no buying support if ES breaks that level.
Down through 3650 is where we would note dealers are likely to become sellers as indicated by lack of positive gamma above 3650, but also low gamma levels in Q’s and single stock pressures (from long call hedge unwinds).
These single stock buying pressures jumped significantly as you can see here:
Consider the above chart chart along with an updated Put:Call ratio chart as TME pointed out last week:
With equities at all time highs, everyone has “crowded to one side of the boat”. Regardless of your longer term outlook for equities, you have to consider the rather violent >8%% corrections after similar setups in August and October. Timing when this could unwind is challenging, but note there are possible catalysts with those large VIX & year end expirations (12/16, 12/18).
For today we note 3700 as resistance, with a large Combo pivot bar at 3689. To the downside we note 3650 as critical support.
Macro Note:
3500-3700 range into DEC OPEX.
| SIGNAL NAME | LATEST DATA | PREVIOUS | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3688 | 3695 | 368 | 12514 | 305 | ||
| VIX Ref: | 14 | 20.61 | |||||
| SG Gamma Index™: | 0.98 | 1.11 | 0.22 | 0.02 | 0.01 | ||
| Gamma Notional(MM): | $473.00 | $633.00 | $1,495.00 | $2.00 | $56.00 | ||
| SGI Imp. 1 Day Move: | 0.65%, | 24.0 pts | Range: 3664.0 | 3714.0 | ||||
| SGI Imp. 5 Day Move: | 3688 | 2.17% | Range: 3608.0 | 3769.0 | ||||
| Zero Gamma Level(ES Px): | 3597 | 3576 | — | 0 | |||
| Vol Trigger™(ES Px): | 3505 | 3505 | 356 | 11975 | 299 | ||
| SG Abs. Gamma Strike: | 3600 | 3600 | 370 | 12000 | 300 | ||
| Put Wall Support: | 3500 | 3300 | 340 | 11000 | 265 | ||
| Call Wall Strike: | 3700 | 3700 | 370 | 12000 | 310 | ||
| CP Gam Tilt: | 1.55 | 1.57 | 1.62 | 1.31 | 1.07 | ||
| Delta Neutral Px: | 3455 | ||||||
| Net Delta(MM): | $12,396.00 | $14,064.00 | $2,171.00 | $428.00 | $711.00 | ||
| 25D Risk Reversal | -0.07 | -0.06 | -0.06 | -0.05 | -0.06 | ||
| Top Absolute Gamma Strikes: SPX: [3700, 3650, 3625, 3600] SPY: [380, 370, 365, 360] QQQ: [310, 300, 290, 280] NDX:[12500, 12000, 11000, 10900] SPX Combo: [3740.0, 3689.0, 3641.0, 3715.0, 3663.0] NDX Combo: [12709.0] The PutWall has moved to: 3500 from: 3300 SPX resistance is: 3700. Support is: 3600 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $473.20MM from: $633.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
