Futures have shifted down to 3630 overnight, breaking through our key 3650 level. The Volatility Trigger is our most important risk indicator and has jumped higher to 3645. This implies that downside risk is high as dealer selling may increase if markets shift lower. You can see here just how quickly this Vol Trigger metric increased over the last several days, indicating an pick up in hedging.
Traditional gamma models likely hold 3625 as the official Zero Gamma line (note the overnight low of 3622), but we must account for Q’s flipping at $300 and the large amount of negative gamma in single stocks. As you can see below there remains little positive gamma at strikes around current SPX prices. 
For today 3650 is the resistance area, with some support offered at 3600. Again, we note a large expansion in volatility is now possible as dealer selling may pick up through 3600. This is in contrast to recent days when we were forecasting a tight trading range. We think an upside move is fairly limited, and recommend watching the VIX to confirm any directional movement. An drop(rise) in VIX implies further strength(weakness) in SPX.
Macro Note:
3650 critical support, 3700 top into 12/18 OPEX.
| SIGNAL NAME | LATEST DATA | PREVIOUS | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3660 | 3664 | 366 | 12366 | 302 | ||
| VIX Ref: | 22.52 | 22.52 | |||||
| SG Gamma Index™: | 0.65 | 0.87 | 0.20 | 0.01 | -0.02 | ||
| Gamma Notional(MM): | $165.00 | $237.00 | $997.00 | $0.00 | $-84.00 | ||
| SGI Imp. 1 Day Move: | 0.87%, | 31.0 pts | Range: 3600.0 | 3660.0 | ||||
| SGI Imp. 5 Day Move: | 3688 | 2.17% | Range: 3608.0 | 3769.0 | ||||
| Zero Gamma Level(ES Px): | 3624 | 3628 | — | 0 | |||
| Vol Trigger™(ES Px): | 3645 | 3595 | 362 | 11975 | 302 | ||
| SG Abs. Gamma Strike: | 3650 | 3700 | 370 | 12000 | 300 | ||
| Put Wall Support: | 3645 | 3500 | 360 | 11500 | 290 | ||
| Call Wall Strike: | 3700 | 3700 | 370 | 12000 | 310 | ||
| CP Gam Tilt: | 1.23 | 1.16 | 1.3 | 0.97 | 0.93 | ||
| Delta Neutral Px: | 3429 | ||||||
| Net Delta(MM): | $14,752.00 | $10,488.00 | $2,152.00 | $458.00 | $747.00 | ||
| 25D Risk Reversal | -0.08 | -0.08 | -0.08 | -0.08 | -0.08 | ||
| Top Absolute Gamma Strikes: SPX: [3700, 3675, 3650, 3600] SPY: [370, 365, 364, 360] QQQ: [305, 300, 295, 290] NDX:[12600, 12500, 12000, 10900] SPX Combo: [3698.0, 3724.0, 3672.0, 3705.0, 3727.0] NDX Combo: [] The Volatility Trigger has moved UP: 3645 from: 3595 The PutWall has moved to: 3645 from: 3500 SPX resistance is: 3700. Support is: 3650 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $165.09MM from: $236.00MM 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% |
