Futures were down quite sharply to start the overnight session (3657) only to stage a strong recovery to current highs (3743). There was really no news of any kind to suggest clearing issues over the weekend, and the market rally seems to confirm that. We would note that despite this move higher the options structure deteriorated, and we will need to see some fairly strong call flows to help reign in volatility. Puts above 3750 were net closed/rolled on Friday which relieves some of the selling pressure >3700.
You can see below in the green 3750-3800 box there is just a “void” of options positions and we hold little directional conviction if markets enter that zone. Implied volatility (ie VIX) is the key lever at this moment. Should we see the VIX break 30 to the downside then the SPX may make a quick move to 3800 resistance. The zero gamma critical support level down shifts to 3740, should that level break then 3700 becomes the target.
We did want to pass along this rather conversation between Elon Musk and Robinhood’s CEO, in which Elon asks if something “Shady went on”. Given Elon’s history (the 420 episode, and vulgar SEC tweets) its incredible he’s delving into this topic. Really interesting conversation here.
Macro Note:
Feb Range 3750-3850
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3743 | 3701 | 374 | 13042 | 314 | ||
| VIX Ref: | 31.14 | 33.09 | |||||
| SG Gamma Index™: | -0.28 | -0.02 | -0.11 | 0.01 | -0.06 | ||
| Gamma Notional(MM): | $-131 | $-537 | $-6 | $2 | $-384 | ||
| SGI Imp. 1 Day Move: | 1.26%, | 47.0 pts | Range: 3696.0 | 3790.0 | ||||
| SGI Imp. 5 Day Move: | 3743 | 1.59% | Range: 3683.0 | 3803.0 | ||||
| Zero Gamma Level(ES Px): | 3762 | 3805 | — | 0 | |||
| Vol Trigger™(ES Px): | 3740 | 3785 | 375 | 12575 | 320 | ||
| SG Abs. Gamma Strike: | 3800 | 3800 | 380 | 12800 | 315 | ||
| Put Wall Support: | 3550 | 3600 | 370 | 11500 | 300 | ||
| Call Wall Strike: | 3900 | 3900 | 395 | 12825 | 330 | ||
| CP Gam Tilt: | 0.88 | 0.64 | 1.0 | 1.21 | 0.61 | ||
| Delta Neutral Px: | 3668 | ||||||
| Net Delta(MM): | $1,049,732 | $1,093,400 | $185,201 | $35,517 | $70,973 | ||
| 25D Risk Reversal | -0.16 | -0.12 | -0.14 | -0.14 | -0.14 | ||
| Top Absolute Gamma Strikes: SPX: [3800, 3750, 3700, 3600] SPY: [385, 380, 375, 370] QQQ: [320, 315, 310, 300] NDX:[12825, 12800, 12600, 11500] SPX Combo: [3678.0, 3828.0] NDX Combo: [12854.0] The Volatility Trigger has moved DOWN: 3740 from: 3785 The PutWall has moved to: 3550 from: 3600 SPX resistance is: 3800 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $-132MM from: $-538.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |
