Futures are flat to last nights close: 3725. The only notable change in data was a drawdown in SPY gamma from ~$900mm to $600mm – we mark SPX with only $200m. That leaves total S&P (SPX+SPY) having a decent cushion and we still view SPX holding the 3700-3750 range today.
QQQ however sits on top of its gamma flip point of 312. The options structure is definitely deteriorating, but on net we think there is an “unpinning” next week, and not today. To this point, the SG implied move started the week at a 1 day range of ~65bps, but is currently ~90bps reflecting the possibility of wider swings today.
The Call Wall resistance point also so no signs of shifting higher as you can see below. We’d need a pretty decent shift in position between 3750 & 3800 for 3800 to become the Call Wall, and new upside target.
Finally we show single stock gamma, which remains robust. Contrary to index positions, 12/31 is a fairly meaningless expiration for nearly most individual stocks. >50% of single stock gamma and delta is tied to 1/15 expiration.
Macro Note:
3700-3750
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3725 | 3722 | 372 | 12849 | 312 | ||
| VIX Ref: | 22.77 | 22.77 | |||||
| SG Gamma Index™: | 0.77 | 0.63 | 0.09 | 0.02 | 0.02 | ||
| Gamma Notional(MM): | $208.00 | $220.00 | $658.00 | $2.00 | $11.00 | ||
| SGI Imp. 1 Day Move: | 0.9%, | 34.0 pts | Range: 3691.0 | 3759.0 | ||||
| SGI Imp. 5 Day Move: | 3721 | 2.46% | Range: 3630.0 | 3813.0 | ||||
| Zero Gamma Level(ES Px): | 3688 | 3685 | — | 0 | |||
| Vol Trigger™(ES Px): | 3695 | 3720 | 371 | 12550 | 312 | ||
| SG Abs. Gamma Strike: | 3700 | 3700 | 370 | 12800 | 315 | ||
| Put Wall Support: | 3600 | 3500 | 360 | 10500 | 278 | ||
| Call Wall Strike: | 3750 | 3750 | 375 | 12725 | 315 | ||
| CP Gam Tilt: | 1.36 | 1.17 | 1.25 | 1.34 | 1.01 | ||
| Delta Neutral Px: | 3543 | ||||||
| Net Delta(MM): | $1,043,837.00 | $1,038,998.00 | $147,609.00 | $31,395.00 | $60,497.00 | ||
| 25D Risk Reversal | -0.08 | -0.08 | -0.07 | -0.08 | -0.08 | ||
| Top Absolute Gamma Strikes: SPX: [3750, 3725, 3700, 3650] SPY: [380, 375, 372, 370] QQQ: [315, 313, 312, 310] NDX:[13000, 12800, 12725, 12600] SPX Combo: [3744.0, 3793.0, 3770.0, 3755.0, 3692.0] NDX Combo: [12931.0, 12892.0, 12854.0] The Volatility Trigger has moved DOWN: 3695 from: 3720 The PutWall has moved to: 3600 from: 3500 SPX resistance is: 3750. Support is: 3700 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $208.36MM from: $219.00MM 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% |
