Futures are holding 3850 – just a bit off of overnight highs of 3860. The Call Wall holds 3850/385 which indicates the market opens at resistance, with the SG Implied move down at 77bps vs 1.18 yesterday. This forecasts a much tighter trading range today.
3900 did make a big jump in position size which infers that the Call Wall could shift there soon. With that we also note to very large Combo strike bars at 3854 and 3905. These large levels above are a function of calls being added overhead.
To the downside 3800 is the critical risk line, with gamma flipping to negative below there.
Every once in a while we come across a chart that leaves us a rather surprised. This happened yesterday when adjusting some of the OCC data we collect. The chart below depicts the number of options bought to open, minus options sold to open.
Therefore the blue line at top is telling us that many more traders are opening calls to buy rather than sell to open. Note the gold line, which depicts puts. The red circles indicate where more traders are net selling more puts to open vs buying to open. This is a clear sign of large risk taking that was last seen in late Jan ’20 and Aug ’20. 
The current cycle of shorting puts started in December and increased into last week. We’re not sure how many more indications one needs to declare this market “exuberant”. However, traders seem intent on pressing markets higher and our data shows low near term risk as long as the SPX holds 3800.
Macro Note:
Feb Range 3750-3850
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3856 | 3844 | 385 | 13381 | 323 | ||
| VIX Ref: | 21.58 | 21.58 | |||||
| SG Gamma Index™: | 1.26 | 0.38 | 0.17 | 0.01 | 0.01 | ||
| Gamma Notional(MM): | $488 | $384 | $1,088 | $3 | $2 | ||
| SGI Imp. 1 Day Move: | 0.78%, | 30.0 pts | Range: 3826.0 | 3886.0 | ||||
| SGI Imp. 5 Day Move: | 3755 | 1.8% | Range: 3687.0 | 3823.0 | ||||
| Zero Gamma Level(ES Px): | 3761 | 3777 | — | 0 | |||
| Vol Trigger™(ES Px): | 3790 | 3790 | 381 | 12800 | 318 | ||
| SG Abs. Gamma Strike: | 3800 | 3800 | 385 | 12800 | 323 | ||
| Put Wall Support: | 3550 | 3600 | 370 | 12800 | 300 | ||
| Call Wall Strike: | 3850 | 3850 | 385 | 12825 | 325 | ||
| CP Gam Tilt: | 1.71 | 1.39 | 1.5 | 1.53 | 1.0 | ||
| Delta Neutral Px: | 3640 | ||||||
| Net Delta(MM): | $1,045,916 | $1,006,278 | $167,797 | $32,708 | $61,538 | ||
| 25D Risk Reversal | -0.07 | -0.08 | -0.07 | -0.07 | -0.07 | ||
| Top Absolute Gamma Strikes: SPX: [3900, 3850, 3800, 3700] SPY: [385, 383, 382, 380] QQQ: [325, 323, 320, 315] NDX:[13000, 12825, 12800, 12600] SPX Combo: [3854.0, 3905.0, 3866.0, 3878.0, 3897.0] NDX Combo: [13413.0, 13613.0, 13333.0] The PutWall has moved to: 3550 from: 3600 SPX is above the Volatility Trigger™, resistance is: 3850 Support is: 3850 The total gamma has moved has moved UP: $487MM from: $384.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
