Futures are flat to last nights close, and are down from overnight highs of 3770. There was not a significant change in gamma levels overnight. This is a bit curious given the large volume yesterday (1.4mm SPX contracts). 3750 is the key pivot area due to large gamma there, with 3800 the upside target. 3700 remains as the major “risk off” line.
VIX is down well off yesterdays close to 23, and on this topic we are watching a potential “breakout” in realized volatility. You can see in the chart below that the moving averages are threatening to turn up.
This realized vol is an important component of forward/implied volatility expectations. We still hold 1/15 expiration as a key date due to the large amount of gamma expiring on that date, and that could be a mechanism to push volatility higher.
Macro Note:
3750-3800 Jan Exp Range.
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3753 | 3745 | 375 | 12704 | 307 | ||
| VIX Ref: | 23.82 | 25.07 | |||||
| SG Gamma Index™: | 0.57 | 0.59 | 0.03 | 0.01 | -0.10 | ||
| Gamma Notional(MM): | $207.00 | $271.00 | $462.00 | $2.00 | $-613.00 | ||
| SGI Imp. 1 Day Move: | 0.89%, | 33.0 pts | Range: 3720.0 | 3786.0 | ||||
| SGI Imp. 5 Day Move: | 3767 | 2.38% | Range: 3678.0 | 3857.0 | ||||
| Zero Gamma Level(ES Px): | 3688 | 3680 | — | 0 | |||
| Vol Trigger™(ES Px): | 3695 | 3695 | 372 | 12680 | 310 | ||
| SG Abs. Gamma Strike: | 3700 | 3700 | 380 | 12800 | 308 | ||
| Put Wall Support: | 3600 | 3550 | 365 | 11500 | 308 | ||
| Call Wall Strike: | 3800 | 3800 | 380 | 12725 | 320 | ||
| CP Gam Tilt: | 1.28 | 1.24 | 1.19 | 1.18 | 0.57 | ||
| Delta Neutral Px: | 3569 | ||||||
| Net Delta(MM): | $1,053,496.00 | $1,026,693.00 | $161,666.00 | $32,513.00 | $66,080.00 | ||
| 25D Risk Reversal | -0.09 | -0.1 | -0.09 | -0.1 | -0.1 | ||
| Top Absolute Gamma Strikes: SPX: [3750, 3700, 3650, 3600] SPY: [380, 375, 370, 365] QQQ: [310, 308, 305, 300] NDX:[13000, 12800, 12725, 12600] SPX Combo: [3803.0, 3750.0, 3818.0, 3777.0, 3720.0] NDX Combo: [12689.0, 12613.0, 12575.0, 12777.0] The PutWall has moved to: 3600 from: 3550 SPX resistance is: 3800. Support is: 3700 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $207.29MM from: $270.00MM 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% |
