Futures are up slightly to 3807 after a quiet overnight session. Key levels remain the same: 3800 the large OPEX magnet, critical support at 3750. The SPX Call Wall holds 3850, with SPY 380. For this reason we are looking at the large Combo Strike levels for a range top: 3815 & 3827.
There was large volume again at the 3800 strike yesterday (160k contracts), which resulted in a net OI add of +40k for puts and +23k for calls. Put interest at 3800 is now 150k a lot of which accrued the past week. The vast majority of this put interest exists >1/15 expiration (1/15=47k).
Note 3800 call OI is large too: ~200k is at 3800, most of which is >1/15 opex (42k @ 1/15). This likely adds to the pull of 3800 into Fridays close, but seems to establish it as a key strike post OPEX.
There seems to be a bit of anxiety around 1/20 inauguration, and we’re wondering if that anxiety holds or builds as we approach Wednesday. Its an interesting dynamic to consider given the anticipated uptick in volatility (i.e. movement) due to the options expiration, and possibility for implied vol (i.e. VIX) to shift post 1/20.
We are considering the idea of a tough choppy market through 1/20 given OPEX flows and stable VIX, and give edge to a possible relief “vanna” rally post 1/20 driven by a VIX drop.
Macro Note:
3750-3800 Jan Exp Range.
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3813 | 3805 | 381 | 12967 | 316 | ||
| VIX Ref: | 22.21 | 22.21 | |||||
| SG Gamma Index™: | 0.82 | 0.78 | 0.12 | 0.03 | -0.03 | ||
| Gamma Notional(MM): | $327 | $272 | $987 | $4 | $-197 | ||
| SGI Imp. 1 Day Move: | 0.91%, | 35.0 pts | Range: 3778.0 | 3848.0 | ||||
| SGI Imp. 5 Day Move: | 3793 | 2.05% | Range: 3715.0 | 3871.0 | ||||
| Zero Gamma Level(ES Px): | 3747 | 3739 | — | 0 | |||
| Vol Trigger™(ES Px): | 3765 | 3745 | 374 | 12720 | 314 | ||
| SG Abs. Gamma Strike: | 3800 | 3800 | 380 | 12800 | 310 | ||
| Put Wall Support: | 3550 | 3550 | 370 | 10500 | 300 | ||
| Call Wall Strike: | 3850 | 3850 | 380 | 12725 | 320 | ||
| CP Gam Tilt: | 1.35 | 1.22 | 1.39 | 1.36 | 0.85 | ||
| Delta Neutral Px: | 3599 | ||||||
| Net Delta(MM): | $1,165,433 | $1,135,224 | $178,311 | $36,107 | $68,887 | ||
| 25D Risk Reversal | -0.08 | -0.09 | -0.08 | -0.08 | -0.08 | ||
| Top Absolute Gamma Strikes: SPX: [3825, 3800, 3750, 3700] SPY: [385, 380, 375, 370] QQQ: [320, 315, 310, 300] NDX:[13000, 12900, 12800, 12725] SPX Combo: [3853.0, 3903.0, 3800.0, 3827.0, 3815.0] NDX Combo: [13122.0, 13070.0, 13316.0] The Volatility Trigger has moved UP: 3765 from: 3745 SPX resistance is: 3850. Support is: 3800 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $327MM from: $272.00MM 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% |
