Futures had a fairly quiet overnight session and are holding just north of 3700. There was a fairly large jump in positive gamma levels in the SPX, which when combined with the SPY nets around $2.5bn – the largest figure “post-Covid”. You can see in the chart below that this is a “breakout” of sorts vs the last 30 days (orange dots).
Despite this positive gamma boost our Call Wall metric did not shift higher, however both 3725 and 3750 are within striking distance. Ultimately our model therefore holds 3700 as a market top until/unless the Call Wall rolls to a higher strike.
The other notable change is the Zero Gamma level which jumped up to 3620. This is a bit more in line with our thoughts that 3650 holds as critical “gamma flip” support.
This data all suggests that markets are now compressing up against the 3700 strike, and we continue to think that the VIX may be the final key needed for a bullish push. The VIX currently holds 20.55 which is essentially the post-Covid low. If it can breach 20 then we may see another move higher in markets.
For today we note resistance at 3708 and in the 3727 area. 3700 and 3675 is support. Because of the large positive gamma position we are not looking for a large trading range today.
Macro Note:
3600-3700 into 12/18 OPEX.
| SIGNAL NAME | LATEST DATA | PREVIOUS | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3712 | 3701 | 371 | 12651 | 308 | ||
| VIX Ref: | 20.68 | 20.68 | |||||
| SG Gamma Index™: | 1.36 | 1.02 | 0.30 | 0.02 | 0.02 | ||
| Gamma Notional(MM): | $716.00 | $535.00 | $1,781.00 | $3.00 | $106.00 | ||
| SGI Imp. 1 Day Move: | 0.81%, | 30.0 pts | Range: 3675.0 | 3735.0 | ||||
| SGI Imp. 5 Day Move: | 3688 | 2.17% | Range: 3608.0 | 3769.0 | ||||
| Zero Gamma Level(ES Px): | 3620 | 3609 | — | 0 | |||
| Vol Trigger™(ES Px): | 3595 | 3505 | 361 | 11975 | 299 | ||
| SG Abs. Gamma Strike: | 3700 | 3650 | 370 | 12000 | 300 | ||
| Put Wall Support: | 3500 | 3500 | 367 | 11500 | 265 | ||
| Call Wall Strike: | 3700 | 3700 | 375 | 12000 | 310 | ||
| CP Gam Tilt: | 1.65 | 1.47 | 1.66 | 1.38 | 1.13 | ||
| Delta Neutral Px: | 3426 | ||||||
| Net Delta(MM): | $14,632.00 | $11,582.00 | $2,330.00 | $458.00 | $730.00 | ||
| 25D Risk Reversal | -0.06 | -0.07 | -0.07 | -0.05 | -0.06 | ||
| Top Absolute Gamma Strikes: SPX: [3700, 3675, 3650, 3600] SPY: [380, 375, 370, 368] QQQ: [310, 305, 300, 290] NDX:[12700, 12600, 12500, 12000] SPX Combo: [3708.0, 3760.0, 3734.0, 3723.0, 3730.0] NDX Combo: [12727.0] The Volatility Trigger has moved UP: 3595 from: 3505 SPX is above the Volatility Trigger™, resistance is: 3700 Support is: 3700 The total gamma has moved has moved UP: $715.00MM from: $534.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
