Futures are at 3690 with little movement overnight. Total S&P gamma is slowly rebuilding to ~$500mm, mainly off of the back of SPY($350mm). The indicative range remains basically the same as the last several days: 3750 Call Wall, 3700 large gamma strike/pivot area, and 3650 critical support/gamma flip.
You can see in the chart below that the gamma “mass” is shifting up towards 3750 but markets lack the “punch” to draw to that area. The issue is that negative gamma starts to fill in <=3700 as shown in red, and as reflected by the Vol Trigger sitting at 3695.
As a result we feel there is little directional edge in the data, but feel there continues to be large downside risk due to the structure as shown above, and we think its important to respect a break of the Zero Gamma level.
Note that markets close at 1pm EST today for Christmas, and this is interesting as we wonder how many of the call buyers who have been rushing into weeklies accounted for the 1.5 less days this week. Many of the most active call names may see some pressure and some reversion today as dealers unwind long deltas tied to rapidly decaying 12/24 calls.
Macro Note:
Jan range TBD.
| SIGNAL NAME | LATEST DATA | PREVIOUS | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3688 | 3674 | 368 | 12670 | 308 | ||
| VIX Ref: | 23.31 | 23.31 | |||||
| SG Gamma Index™: | 0.23 | 0.22 | -0.11 | 0.01 | -0.01 | ||
| Gamma Notional(MM): | $163.00 | $69.00 | $345.00 | $2.00 | $-59.00 | ||
| SGI Imp. 1 Day Move: | 1.14%, | 42.0 pts | Range: 3646 | 3730 | ||||
| SGI Imp. 5 Day Move: | 3647 | 2.05% | Range: 3573.0 | 3722.0 | ||||
| Zero Gamma Level(ES Px): | 3651 | 3665 | — | 0 | |||
| Vol Trigger™(ES Px): | 3695 | 3695 | 369 | 12275 | 307 | ||
| SG Abs. Gamma Strike: | 3700 | 3700 | 370 | 12800 | 310 | ||
| Put Wall Support: | 3500 | 3500 | 360 | 11500 | 290 | ||
| Call Wall Strike: | 3750 | 3750 | 375 | 12725 | 315 | ||
| CP Gam Tilt: | 1.11 | 1.06 | 1.12 | 1.28 | 0.94 | ||
| Delta Neutral Px: | 3534 | ||||||
| Net Delta(MM): | $927,550.00 | $935,480.00 | $139,204.00 | $29,862.00 | $57,831.00 | ||
| 25D Risk Reversal | -0.09 | -0.09 | -0.07 | -0.08 | -0.08 | ||
| Top Absolute Gamma Strikes: SPX: [3700, 3675, 3650, 3600] SPY: [380, 370, 365, 360] QQQ: [315, 310, 308, 300] NDX:[12800, 12725, 12600, 11500] SPX Combo: [3748.0, 3722.0, 3700.0, 3663.0, 3686.0] NDX Combo: [12746.0] SPX is below the Volatility Trigger™. The 3651.0 level is first level of resistance and is critical as its the negative gamma threshold. The trigger level of: 3695 will act as overhead resistance. Watching VIX is key, if volatility comes in dealers will start to buy back shares as their short puts lose value. This could start a rally. The total gamma has moved has moved UP: $163.00MM from: $69.00MM 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% |
