Apologies for todays note being a bit late. We had some local connectivity issues.
SPX futures 3706 are down vs yesterdays close, but up from overnight lows 3689. The “Democratic Rotation” is on, as Nasdaq is -1.5% from the close, with RTY +3%. The VIX is pushing lower, too. Our outlook has been for volatility to decline following these election events (1/5, 1/6).
Today 3700 remains critical support, and the gamma flip line. The last dip did has some velocity to it, but mean reverted. If we catch a dip wherein put positions are initiated then that “dip” may turn into a “drop” as dealers scramble to hedge. Conversely, holding 3700 with a material decline in VIX (implied volatility) could be a good signal for a run to 3750.
As mentioned in last nights note the SPX options position is light, so significant new positions can induce volatility due to delta hedging. The major question is does the market look to puts (dealer shorting) or calls (dealer buying).
A reminder: we are hosting “Office Hours” tomorrow for subscribers at 12 EST. Link here.
Macro Note:
3700-3800 Jan Exp Range.
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3706 | 3709 | 370 | 12625 | 311 | ||
| VIX Ref: | 24.79 | 24.45 | |||||
| SG Gamma Index™: | 0.58 | 0.58 | 0.03 | 0.01 | -0.05 | ||
| Gamma Notional(MM): | $55.00 | $71.00 | $71.00 | $1.00 | $-327.00 | ||
| SGI Imp. 1 Day Move: | 0.87%, | 32.0 pts | Range: 3674.0 | 3738.0 | ||||
| SGI Imp. 5 Day Move: | 3767 | 2.38% | Range: 3678.0 | 3857.0 | ||||
| Zero Gamma Level(ES Px): | 3670 | 12499 | — | 0 | |||
| Vol Trigger™(ES Px): | 3695 | 3695 | 369 | 12680 | 310 | ||
| SG Abs. Gamma Strike: | 3700 | 3700 | 370 | 12800 | 310 | ||
| Put Wall Support: | 3550 | 3550 | 360 | 12100 | 308 | ||
| Call Wall Strike: | 3800 | 3800 | 380 | 12725 | 320 | ||
| CP Gam Tilt: | 1.28 | 1.06 | 1.03 | 1.07 | 0.72 | ||
| Delta Neutral Px: | 3552 | ||||||
| Net Delta(MM): | $1,016,138.00 | $1,016,892.00 | $156,723.00 | $31,822.00 | $62,843.00 | ||
| 25D Risk Reversal | -0.1 | -0.1 | -0.09 | -0.09 | -0.09 | ||
| Top Absolute Gamma Strikes: SPX: [3750, 3700, 3650, 3600] SPY: [380, 375, 370, 365] QQQ: [320, 315, 310, 300] NDX:[13000, 12800, 12725, 12600] SPX Combo: [3728.0, 3754.0, 3680.0, 3743.0, 3710.0] NDX Combo: [12729.0, 12452.0, 12364.0] SPX resistance is: 3800. Support is: 3700 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $55.04MM from: $70.00MM 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% |
