Futures are holding the 3830 area after a quiet overnight session. We saw a fairly small increase in total notional gamma, nothing to suggest large call buying. The Vol Trigger area shifted up to just under 3800, implying that much of what we saw the last two days was indeed short covering. As outlined earlier, put positions were crushed and that leads dealers to buy back short futures. Other than 10k calls added to the 3900 strike, call activity was marginal.
We sit now with a very large straddle at 3800 in both SPX and SPY, and we think that path of least resistance will continue to be back to that strike. Additionally it appears that sizeable positive gamma only exists >3850, so moves up to that level will be met with some dealer selling (positive gamma hedging), and so buyer conviction has to offset that.
Macro Note:
3700-3900 into Feb OPEX
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3835 | 3824 | 383 | 13543 | 327 | ||
| VIX Ref: | 25.56 | 25.56 | |||||
| SG Gamma Index™: | 0.69 | 0.21 | -0.03 | 0.03 | -0.01 | ||
| Gamma Notional(MM): | $198 | $236 | $271 | $3 | $-114 | ||
| SGI Imp. 1 Day Move: | 0.89%, | 34.0 pts | Range: 3801.0 | 3869.0 | ||||
| SGI Imp. 5 Day Move: | 3743 | 1.59% | Range: 3683.0 | 3803.0 | ||||
| Zero Gamma Level(ES Px): | 3797 | 3758 | — | 0 | |||
| Vol Trigger™(ES Px): | 3785 | 3740 | 381 | 12525 | 326 | ||
| SG Abs. Gamma Strike: | 3800 | 3800 | 380 | 12800 | 325 | ||
| Put Wall Support: | 3600 | 3600 | 380 | 11300 | 310 | ||
| Call Wall Strike: | 3900 | 3900 | 395 | 12825 | 340 | ||
| CP Gam Tilt: | 1.3 | 1.21 | 1.09 | 1.52 | 0.89 | ||
| Delta Neutral Px: | 3647 | ||||||
| Net Delta(MM): | $1,152,431 | $1,053,127 | $191,642 | $38,607 | $70,860 | ||
| 25D Risk Reversal | -0.09 | -0.13 | -0.08 | -0.07 | -0.07 | ||
| Top Absolute Gamma Strikes: SPX: [3850, 3800, 3750, 3700] SPY: [385, 383, 380, 375] QQQ: [325, 320, 315, 310] NDX:[13000, 12825, 12800, 12600] SPX Combo: [3908.0, 3858.0, 3885.0, 3904.0, 3934.0] NDX Combo: [13843.0, 13640.0, 13233.0] The Volatility Trigger has moved UP: 3785 from: 3740 SPX resistance is: 3900. Support is: 3800 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $198MM from: $235.00MM 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% |
