Today will be interesting as futures start the day pressed up against the 3700 Call Wall. Because the Call Wall did not roll higher we still mark 3700 as the top of our range. However, 3700 is now also the largest gamma strike “magnet” on the board.
In a normal expiration week we’d therefore look for a 3700 pin into OPEX, but this week isn’t normal. This morning we have the VIX expiration which can sometimes lead to market shifts, and the FOMC complicates forecasts later this afternoon.
With respect to the VIX expiration (pre open) we note that 12/16 is the expiration with the most amount of VIX gamma, and there are a lot of puts in the 20-22 area that are expiring. As of late the VIX has been unable to drop through that 20 area (and post-Covid lows). We wonder if this expiration will remove that VIX “pin” and prices will come down. You can see how in our EquityHub view how concentrated the VIX put gamma (orange line) is around current VIX prices.
As frequently mentioned if the VIX trends lower we think equity prices shift higher, and so we will be watching the post-OPEX VIX behavior today. This will be particularly interesting given the FOMC later today – we usually note a decline in VIX after the 2pm Fed data. A materially lower VIX will likely override the Call Wall “top” in which case 3750 (green arrow, below) would be the upside target.
Should we see SPX prices hold >3700, and the Call Wall shift to 3750 we’d note that significantly improves the options structure. This is due to the large positive gamma strikes >=3700 as you can see above.
To the downside, our metrics have further consolidated at 3650 (Zero Gamma, Vol Trigger, Put Wall) marking that as critical support.
3650 critical support, 3700 top into 12/18 OPEX.
|SIGNAL NAME||LATEST DATA||PREVIOUS||SPY||NDX||QQQ|
|SG Gamma Index™:||1.07||0.28||0.23||0.02||0.03|
|SGI Imp. 1 Day Move:||0.59%||37.0 pts||Range: 3647.0 | 3721.0|
|SGI Imp. 5 Day Move:||3669||2.24%||Range: 3587.0 | 3752.0|
|Zero Gamma Level(ES Px):||3647||3622||—||0|
|Vol Trigger™(ES Px):||3645||3645||362||11975||299|
|SG Abs. Gamma Strike:||3700||3650||370||12600||300|
|Put Wall Support:||3640||3500||360||10500||290|
|Call Wall Strike:||3700||3700||370||12000||310|
|CP Gam Tilt:||1.39||1.2||1.33||1.23||1.2|
|Delta Neutral Px:||3451|
|25D Risk Reversal||-0.07||-0.07||-0.1||-0.09||-0.09|
|Top Absolute Gamma Strikes:
SPX: [3700, 3675, 3650, 3600]
SPY: [380, 375, 370, 365]
QQQ: [310, 305, 300, 290]
NDX:[13000, 12600, 12500, 12000]
SPX Combo: [3688.0, 3740.0, 3714.0, 3666.0, 3699.0]
NDX Combo: [12727.0]
The PutWall has moved to: 3640 from: 3500
SPX resistance is: 3700 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved DOWN: $163.49MM from: $336.00MM
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%
Gamma Expiration Tool