Futures are up slightly ahead of the big options expiration. We advise caution for those of you trading futures around the open, as this is a large expiration prices can be jumpy. We do not anticipate a large move today, but as noted last night its next week we are looking for markets to become unpinned from the 3700 area.
As far as the current state of affairs, there is a bullish tilt to overnight moves. First our SG index made a fresh high as you can see below. This indicates more dealer volatility suppression at current SPX prices.
Additionally our RiskReveral punched higher, which infers increased demand for calls.
There was a push higher in single stock gamma (please forgive the axis timestamp) which denotes heavy options demand. However, at least 40% of this rolls off on todays expiration. This could create a bit of single stock pressure on Monday as hedgers adjust.
On net, the bulls “got ’em where they want ’em” and barring and S&P rebalance fireworks today this tilt should hold post-OPEX. For today 3750 remains the upside target, with 3700 support.
Macro Note:
3675 to 3750
| SIGNAL NAME | LATEST DATA | PREVIOUS | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3705 | 3712 | 370 | 12722 | 311 | ||
| VIX Ref: | 21.93 | 21.93 | |||||
| SG Gamma Index™: | 1.61 | 1.02 | 0.31 | 0.03 | 0.06 | ||
| Gamma Notional(MM): | $302.00 | $386.00 | $725.00 | $4.00 | $235.00 | ||
| SGI Imp. 1 Day Move: | 0.8%, | 32.0 pts | Range: 3673.0 | 3737.0 | ||||
| SGI Imp. 5 Day Move: | 3669 | 2.24% | Range: 3587.0 | 3752.0 | ||||
| Zero Gamma Level(ES Px): | 3641 | 3647 | — | 0 | |||
| Vol Trigger™(ES Px): | 3635 | 3670 | 369 | 12590 | 299 | ||
| SG Abs. Gamma Strike: | 3700 | 3700 | 375 | 12700 | 310 | ||
| Put Wall Support: | 3500 | 3660 | 360 | 11500 | 265 | ||
| Call Wall Strike: | 3750 | 3750 | 375 | 12800 | 315 | ||
| CP Gam Tilt: | 1.71 | 1.24 | 1.25 | 1.4 | 1.23 | ||
| Delta Neutral Px: | 3471 | ||||||
| Net Delta(MM): | $15,951.00 | $15,754.00 | $1,463.00 | $491.00 | $808.00 | ||
| 25D Risk Reversal | -0.05 | -0.06 | -0.08 | -0.05 | -0.09 | ||
| Top Absolute Gamma Strikes: SPX: [3750, 3700, 3675, 3650] SPY: [380, 375, 373, 370] QQQ: [315, 310, 305, 300] NDX:[12800, 12725, 12700, 12600] SPX Combo: [3732.0, 3713.0, 3710.0, 3684.0, 3736.0] NDX Combo: [12688.0, 12892.0, 12765.0, 12803.0] The Volatility Trigger has moved DOWN: 3635 from: 3670 The PutWall has moved to: 3500 from: 3660 SPX resistance is: 3750. Support is: 3700 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $301.88MM from: $385.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
