Futures held a tight range around 3800 in the overnight session. Gamma levels drop slightly which was anticipated given the high PutCall ratio yesterday. Despite SPX being fairly flat ($175mm), we note SPY gamma remains quite strong at $900mm. The major range to watch remains unchanged: 3750 critical support with a 3800 the large magnet into 1/15.
There were some interesting volume & OI changes yesterday: total 3800 strike volume was ~80k, which netted a 35k increase in total OI at that strike. There was also a tick up in put volume, dispersed from 3750->3600. It appears some of this was a spread (3750/3600) but on net we added about 40k put contracts near 3600.
This volume reveals a few things: its increases the pin of 3800, certainly into OPEX. Second, put buyers are creeping in here, as based on recent volumes.
This mornings data shows single stock gamma relatively unchanged, with >50% of gamma still set to expire Friday. The chart below graphs that change in SPY where you can see how gamma reduces, which implies markets have less dealer influence and can shift from 3800.
We quote this expiration figure on a “gamma” basis, as gamma is really a reflection of the true size of the expiration. Because gamma is highest for ATM options it depicts the size of options that are “relevant”.
There are a lot of questions about VIX expiration and why it matters. It’s an event you should be aware of, particularly for short term traders as often it leads to large strips of SPX options trading. Our feeling is that it is unlikely to be a market moving. Its a talking point considering that VIX expiration is near a large equity expiration.
Macro Note:
3750-3800 Jan Exp Range.
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3792 | 3799 | 379 | 12890 | 313 | ||
| VIX Ref: | 23.48 | 23.33 | |||||
| SG Gamma Index™: | 0.78 | 0.81 | 0.13 | 0.03 | -0.04 | ||
| Gamma Notional(MM): | $178 | $247.00 | $931 | $4.00 | $-284.00 | ||
| SGI Imp. 1 Day Move: | 0.95%, | 36.0 pts | Range: 3756.0 | 3828.0 | ||||
| SGI Imp. 5 Day Move: | 3793 | 2.05% | Range: 3715.0 | 3871.0 | ||||
| Zero Gamma Level(ES Px): | 3755 | 3761 | — | 0 | |||
| Vol Trigger™(ES Px): | 3745 | 3745 | 377 | 12720 | 311 | ||
| SG Abs. Gamma Strike: | 3800 | 3800 | 380 | 12800 | 310 | ||
| Put Wall Support: | 3550 | 3550 | 360 | 10500 | 295 | ||
| Call Wall Strike: | 3850 | 3850 | 380 | 12725 | 320 | ||
| CP Gam Tilt: | 1.36 | 1.17 | 1.36 | 1.36 | 0.77 | ||
| Delta Neutral Px: | 3607 | ||||||
| Net Delta(MM): | $1,131,346.00 | $1,133,285.00 | $177,330.00 | $34,433.00 | $68,880.00 | ||
| 25D Risk Reversal | -0.09 | -0.09 | -0.08 | -0.09 | -0.09 | ||
| Top Absolute Gamma Strikes: SPX: [3825, 3800, 3750, 3700] SPY: [385, 380, 375, 370] QQQ: [320, 315, 310, 300] NDX:[13000, 12800, 12750, 12725] SPX Combo: [3840.0, 3791.0, 3813.0, 3889.0, 3806.0] NDX Combo: [12711.0, 13123.0, 12518.0, 13085.0] SPX resistance is: 3800 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $178MM from: $225.00MM 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% |
