Futures are at 3675 after a quiet overnight session. Key levels remain the same as yesterday, but we note a large drawdown in S&P positive gamma ($2.5bn->$$1.5bn). This quick deterioration is the result of most of the SPX call positions being >=3700. Because most of these options are well above current SPX levels the rate of change of gamma is rather high. That being said $1bn is a decent +gamma position which results in a forecasted SPX range of 85bps.
Our major inflection points to the downside remain 3650 in SPX and 300 in QQQ. Beneath there we believe dealers shift to a negative gamma positions and this leads to a rapid increase in volatility. The Call Wall holds at 3700 and is the top of our anticipated range.
Keep in mind that we have several catalysts next week which will change levels dramatically:
- VIX Exp. 12/16
- SPX (Quadruple Witching) Exp. 12/18 – ~40% of SPX Gamma rolls off
- TSLA into the S&P500 12/18 (this is a major index change, tied to massive assets)
Macro Note:
3650 critical support, 3700 top into 12/18 OPEX.
| SIGNAL NAME | LATEST DATA | PREVIOUS | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3670 | 3668 | 367 | 12320 | 301 | ||
| VIX Ref: | 22.27 | 22.27 | |||||
| SG Gamma Index™: | 0.88 | 1.33 | 0.21 | 0.00 | -0.02 | ||
| Gamma Notional(MM): | $278.00 | $309.00 | $1,231.00 | $-1.00 | $-155.00 | ||
| SGI Imp. 1 Day Move: | 0.85%, | 31.0 pts | Range: 3636.0 | 3704.0 | ||||
| SGI Imp. 5 Day Move: | 3688 | 2.17% | Range: 3608.0 | 3769.0 | ||||
| Zero Gamma Level(ES Px): | 3606 | 3604 | — | 0 | |||
| Vol Trigger™(ES Px): | 3595 | 3595 | 362 | 11975 | 302 | ||
| SG Abs. Gamma Strike: | 3700 | 3700 | 370 | 12000 | 300 | ||
| Put Wall Support: | 3500 | 3500 | 360 | 10900 | 290 | ||
| Call Wall Strike: | 3700 | 3700 | 370 | 12000 | 310 | ||
| CP Gam Tilt: | 1.37 | 1.2 | 1.42 | 0.95 | 0.86 | ||
| Delta Neutral Px: | 3517 | ||||||
| Net Delta(MM): | $10,504.00 | $14,459.00 | $2,298.00 | $405.00 | $746.00 | ||
| 25D Risk Reversal | -0.08 | -0.06 | -0.08 | -0.09 | -0.09 | ||
| Top Absolute Gamma Strikes: SPX: [3700, 3650, 3625, 3600] SPY: [370, 365, 364, 360] QQQ: [305, 300, 295, 290] NDX:[12600, 12000, 11500, 10900] SPX Combo: [3697.0, 3723.0, 3649.0, 3675.0, 3704.0] NDX Combo: [] SPX resistance is: 3700 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $278.13MM from: $308.00MM 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% |
