Futures are at 3711 following a quiet overnight session. Our SG levels made some significant moves resulting in the indicative options range shifting north. 3750 is now the Call Wall which provides a higher available target in the SPX. 3700 remains the largest gamma area on the board, and key support/resistance “pivot” area. Finally our our key risk line (Volatility Trigger) has filled in at 3675. We generally consider this type of range shift to be healthy.
This odds of the market staying >=3700 into 12/18 seem pretty strong, but we must flag two things. We’ve covered both at length in recent notes, but they’re still in play.
First, the rebalance on 12/18 which could cause some uninitiated movement. Again, we hear there index funds must sell $50bn of S&P to sell in order to buy TSLA.
Second is the VIX, which still holds 22. We think this presents a pretty clean setup into 12/18. If the VIX breaks lower then we think the odds of the SPX trying for 3750 increases. A VIX spike and SPX break of 3675 is where we see market risks increasing substantially.
Macro Note:
3675 critical support, 3750 top into 12/18 OPEX.
| SIGNAL NAME | LATEST DATA | PREVIOUS | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3705 | 3694 | 370 | 12710 | 308 | ||
| VIX Ref: | 22.5 | 22.5 | |||||
| SG Gamma Index™: | 1.02 | 1.07 | 0.28 | 0.02 | 0.04 | ||
| Gamma Notional(MM): | $319.00 | $263.00 | $1,633.00 | $2.00 | $200.00 | ||
| SGI Imp. 1 Day Move: | 0.67%, | 24.0 pts | Range: 3686.0 | 3734.0 | ||||
| SGI Imp. 5 Day Move: | 3669 | 2.24% | Range: 3587.0 | 3752.0 | ||||
| Zero Gamma Level(ES Px): | 3668 | 3657 | — | 0 | |||
| Vol Trigger™(ES Px): | 3670 | 3645 | 362 | 12490 | 299 | ||
| SG Abs. Gamma Strike: | 3700 | 3700 | 370 | 12600 | 310 | ||
| Put Wall Support: | 3660 | 3640 | 360 | 10500 | 290 | ||
| Call Wall Strike: | 3750 | 3700 | 375 | 12600 | 310 | ||
| CP Gam Tilt: | 1.37 | 1.15 | 1.64 | 1.24 | 1.2 | ||
| Delta Neutral Px: | 3445 | ||||||
| Net Delta(MM): | $15,725.00 | $15,625.00 | $2,238.00 | $506.00 | $791.00 | ||
| 25D Risk Reversal | -0.06 | -0.07 | -0.09 | -0.08 | -0.09 | ||
| Top Absolute Gamma Strikes: SPX: [3700, 3675, 3650, 3600] SPY: [380, 375, 370, 365] QQQ: [310, 305, 300, 290] NDX:[13000, 12700, 12600, 12500] SPX Combo: [3755.0, 3706.0, 3729.0, 3736.0, 3681.0] NDX Combo: [12751.0, 12955.0, 12878.0, 12840.0] The Volatility Trigger has moved UP: 3670 from: 3645 The PutWall has moved to: 3660 from: 3640 The Call Wall has moved to: 3750 from: 3700 SPX resistance is: 3750. Support is: 3700 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $319.00MM from: $263.00MM 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% |
