Futures touched an overnight low of 3715 only to return back to 3732. The Call Wall resistance level remains 3750, but we note a shift higher in our “gamma flip” levels to 3700. Therefore any break of 3700 is high risk as it may initiate dealer shorting.
The current position is something of a “chase” wherein negative gamma is filling up to current SPX prices, and the market needs to push into the large gamma “safe zone” of >3750. It was a similar structure a week or so ago wherein all the positive gamma was “front loaded” at 3700.
For those of you in the “stimulus checks are going straight to brokerage accounts” camp, it appears those checks start hitting more or less this week indicating that if those checks flood the market, they probably do so just as we clear the GA elections.
Just as noted a few times recently there are these catalysts to start the year which lead into 1/15 expiration. That date is shaping up to be a fairly large expiration and we mark it as some type of inflection point head.
Lastly we wanted to share this chart showing SPY short interest at “post covid” lows. The VIX certainly doesn’t line up with this, nor does the SKEW indicator which measures tail hedging (2nd chart).
Macro Note:
3700-3750
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3734 | 3724 | 373 | 12882 | 312 | ||
| VIX Ref: | 23.08 | 23.08 | |||||
| SG Gamma Index™: | 0.64 | 1.01 | 0.11 | 0.02 | 0.02 | ||
| Gamma Notional(MM): | $324.00 | $325.00 | $1,117.00 | $2.00 | $88.00 | ||
| SGI Imp. 1 Day Move: | 0.89%, | 33.0 pts | Range: 3701.0 | 3767.0 | ||||
| SGI Imp. 5 Day Move: | 3721 | 2.46% | Range: 3630.0 | 3813.0 | ||||
| Zero Gamma Level(ES Px): | 3697 | 3659 | — | 0 | |||
| Vol Trigger™(ES Px): | 3720 | 3670 | 372 | 12575 | 311 | ||
| SG Abs. Gamma Strike: | 3700 | 3700 | 370 | 12800 | 315 | ||
| Put Wall Support: | 3500 | 3500 | 360 | 10500 | 278 | ||
| Call Wall Strike: | 3750 | 3750 | 375 | 12725 | 315 | ||
| CP Gam Tilt: | 1.29 | 1.3 | 1.43 | 1.37 | 1.09 | ||
| Delta Neutral Px: | 3524 | ||||||
| Net Delta(MM): | $1,042,138.00 | $1,008,978.00 | $150,149.00 | $31,311.00 | $60,349.00 | ||
| 25D Risk Reversal | -0.08 | -0.08 | -0.07 | -0.09 | -0.09 | ||
| Top Absolute Gamma Strikes: SPX: [3750, 3725, 3700, 3650] SPY: [380, 375, 372, 370] QQQ: [320, 315, 310, 300] NDX:[13000, 12800, 12725, 12600] SPX Combo: [3754.0, 3765.0, 3780.0, 3762.0, 3706.0] NDX Combo: [12973.0, 12921.0, 12882.0] The Volatility Trigger has moved UP: 3720 from: 3670 SPX resistance is: 3750. Support is: 3700 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $324.26MM from: $324.00MM 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% |
