Futures are flat to last nights close, holding 3800. As anticipated we saw a small reduction in notional gamma in the S&P. 3800 remains the key level and is likely in play through Friday. The overall range holds as 3750 (gamma flip zone) to 3850 (Call Wall). We note too that the SPY Call wall has shifted back to 380 from 385 which adds more weight to the 3800, with 3809 and 3824 showing as key Combo strikes (large SPX+SPY combined gamma levels)
As noted in the past, OPEX week tends to have a lower volatility (tighter range) than other weeks as hedging tightens around large options strikes. So while there is a weakening of data, we look for volatility to arrive next week as large positions roll off Friday.
You can see that realized volatility is further coiled ahead of the large expiration. This volatility could manifest in either SPX price direction as we “unpin” the 3800 level. The VIX (24) remains well above post Covid lows (20) indicating the market is pricing in higher forward volatility as well.
Macro Note:
3750-3800 Jan Exp Range.
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3797 | 3795 | 380 | 12939 | 314 | ||
| VIX Ref: | 23.44 | 24.08 | |||||
| SG Gamma Index™: | 1.63 | 1.10 | 0.24 | 0.04 | -0.09 | ||
| Gamma Notional(MM): | $550.00 | $321.00 | $1,698.00 | $6.00 | $-559.00 | ||
| SGI Imp. 1 Day Move: | 0.82%, | 31.0 pts | Range: 3766.0 | 3828.0 | ||||
| SGI Imp. 5 Day Move: | 3793 | 2.05% | Range: 3715.0 | 3871.0 | ||||
| Zero Gamma Level(ES Px): | 3731 | 3729 | — | 0 | |||
| Vol Trigger™(ES Px): | 3695 | 3735 | 374 | 12720 | 312 | ||
| SG Abs. Gamma Strike: | 3800 | 3700 | 380 | 12800 | 310 | ||
| Put Wall Support: | 3550 | 3550 | 360 | 10500 | 300 | ||
| Call Wall Strike: | 3850 | 3850 | 380 | 12725 | 320 | ||
| CP Gam Tilt: | 1.43 | 1.3 | 1.37 | 1.31 | 0.76 | ||
| Delta Neutral Px: | 3612 | ||||||
| Net Delta(MM): | $2,160,159.00 | $1,100,800.00 | $349,909.00 | $69,644.00 | $135,354.00 | ||
| 25D Risk Reversal | -0.09 | -0.08 | -0.08 | -0.09 | -0.09 | ||
| Top Absolute Gamma Strikes: SPX: [3850, 3800, 3750, 3700] SPY: [385, 380, 375, 370] QQQ: [320, 315, 310, 300] NDX:[13000, 12800, 12750, 12725] SPX Combo: [3847.0, 3896.0, 3824.0, 3797.0, 3809.0] NDX Combo: [13138.0, 12725.0, 13216.0, 12648.0, 12751.0] The Volatility Trigger has moved DOWN: 3695 from: 3735 SPX resistance is: 3800 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $550.00MM from: $321.00MM 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% |
