Futures have pulled back to the 3825 area, with the key SG range unchanged: 3800-3850. There was large “straddle” type volume at 3850 yesterday wherein ~40k each of puts and calls traded at that strike. That seems to have essentially filled in that 3850 level overhead which places the market in a “trough” between the large 3800 large gamma level and the 3850 Call Wall. To this trough idea we note the largest Combo strike is 3832, suggesting this is a sticky area today.
The gamma flip levels continue to slide up, with 3800 marking the transition from positive to negative gamma. There remains little in the way of large net put positions until the 3700 level. The large risk we see here is some type of event that elicits put buying and draws rapid dealer delta hedging (ie shorting futures). Recall our chart from yesterday that there are many short put positions which would catalyze a drawdown. Traders in single stocks would have to first cover their short gamma put positions before being able to hedge their downside.
Eyes shift to the FOMC on Jan 26/27 which will likely hold implied volatility levels up into Wednesday. This poses a catalyst for large movement into the end of next week.
Macro Note:
Feb Range 3750-3850
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3832 | 3847 | 383 | 13344 | 326 | ||
| VIX Ref: | 21.32 | 21.32 | |||||
| SG Gamma Index™: | 1.22 | 1.26 | 0.18 | 0.02 | 0.05 | ||
| Gamma Notional(MM): | $183 | $439 | $602 | $3 | $188 | ||
| SGI Imp. 1 Day Move: | 0.81%, | 31.0 pts | Range: 3801.0 | 3863.0 | ||||
| SGI Imp. 5 Day Move: | 3755 | 1.8% | Range: 3687.0 | 3823.0 | ||||
| Zero Gamma Level(ES Px): | 3794 | 3781 | — | 0 | |||
| Vol Trigger™(ES Px): | 3820 | 3790 | 384 | 12575 | 320 | ||
| SG Abs. Gamma Strike: | 3850 | 3800 | 385 | 12800 | 328 | ||
| Put Wall Support: | 3550 | 3550 | 370 | 11500 | 300 | ||
| Call Wall Strike: | 3850 | 3850 | 385 | 12825 | 328 | ||
| CP Gam Tilt: | 1.59 | 1.43 | 1.2 | 1.49 | 1.21 | ||
| Delta Neutral Px: | 3645 | ||||||
| Net Delta(MM): | $1,073,194 | $1,043,475 | $171,867 | $33,900 | $64,956 | ||
| 25D Risk Reversal | -0.06 | -0.07 | -0.06 | -0.07 | -0.07 | ||
| Top Absolute Gamma Strikes: SPX: [3900, 3850, 3800, 3700] SPY: [385, 384, 383, 380] QQQ: [328, 325, 320, 315] NDX:[13000, 12825, 12800, 12600] SPX Combo: [3832.0, 3882.0, 3843.0, 3859.0, 3862.0] NDX Combo: [13418.0, 13498.0, 13297.0, 13698.0, 13377.0] The Volatility Trigger has moved UP: 3820 from: 3790 SPX resistance is: 3850 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $183MM from: $438.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
