Futures have pushed to 3720 off of the back of advancements in stimulus. This now sets up a fairly clean range of 3700 to 3750 (Call Wall).
We generally look for a volatility crush to start the new year as end of year hedges roll off the books. This year may be a bit different due to the 1/5 GA elections, but the market may discount that event now that some more stimulus is inbound. January has provided us with some “blow off tops” in recent years, and it appears primed to offer that again.
Total S&P gamma (SPY+SPX) holds around $1.7 billion which is a robust figure. The “gamma support” and implied volatility decline suggests a bullish tilt to markets and we look for a test of 3750 Call Wall. There are a decent amount of options positioned at the 12/31 expiration, the decay of which may add to the tail wind.
To the downside, while we see initial market support at 3700 the real danger area is in a break of 3675.
We anticipate speculative call volumes to expand this week, and will be monitoring closely to see if that volume can infect a larger band of names and help pressure the general market higher. You can see in the chart below that options buying was down sharply last week, which can be attributed to the holiday shortened week.
Macro Note:
3700-3750
| SIGNAL NAME | LATEST DATA | PREVIOUS | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3721 | 3692 | 372 | 12790 | 309 | ||
| VIX Ref: | 21.71 | 21.53 | |||||
| SG Gamma Index™: | 0.75 | 0.23 | 0.08 | 0.01 | 0.00 | ||
| Gamma Notional(MM): | $440.00 | $208.00 | $1,313.00 | $2.00 | $20.00 | ||
| SGI Imp. 1 Day Move: | 0.97%, | 36.0 pts | Range: 3685.0 | 3757.0 | ||||
| SGI Imp. 5 Day Move: | 3721 | 2.46% | Range: 3630.0 | 3813.0 | ||||
| Zero Gamma Level(ES Px): | 3657 | 3656 | — | 0 | |||
| Vol Trigger™(ES Px): | 3670 | 3670 | 368 | 12275 | 307 | ||
| SG Abs. Gamma Strike: | 3700 | 3700 | 370 | 12800 | 315 | ||
| Put Wall Support: | 3500 | 3500 | 360 | 11500 | 290 | ||
| Call Wall Strike: | 3750 | 3750 | 375 | 12725 | 315 | ||
| CP Gam Tilt: | 1.39 | 1.16 | 1.61 | 1.39 | 1.02 | ||
| Delta Neutral Px: | 3513 | ||||||
| Net Delta(MM): | $993,249.00 | $928,745.00 | $138,981.00 | $30,197.00 | $56,956.00 | ||
| 25D Risk Reversal | -0.09 | -0.09 | -0.07 | -0.08 | -0.08 | ||
| Top Absolute Gamma Strikes: SPX: [3700, 3675, 3650, 3600] SPY: [380, 375, 370, 360] QQQ: [320, 315, 310, 300] NDX:[13000, 12800, 12725, 12600] SPX Combo: [3770.0, 3718.0, 3744.0, 3732.0, 3792.0] NDX Combo: [13019.0, 12801.0, 12929.0] SPX resistance is: 3750. Support is: 3700 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $439.00MM from: $178.00MM 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% |
