Futures have pushed higher, indicating the SPX is set to open at the 3900 Call Wall resistance point. We do not see markets holding higher prices until this level shifts higher. The dealer hedging force is mean reverting back into 3900 with any materially move above/below being pulled back into the Call Wall Strike (previous example here).
With notional gamma levels holding from Friday we see a ~80bps range on the day, and note a very large Combo bar at 3909. This all leads to us calling for a “pin” today of the 3886-3909 SPX level.
This Call Wall level does not appear poised to roll higher, either. Note the chart below of gamma levels, and you can see how much larger the positive gamma is at 3900. The 4000 strike is the next largest positive gamma strike but it will take some fairly large position changes to swing the Call Wall to that level. Those looking for higher volatility may want to shift to the QQQ/NDX which holds very flat gamma levels.
To the downside we note 3850 as large support, but do not anticipate that being tested today. The major gamma flip points remain at 3800, and that “gap” signals light hedging >3800. This is not “todays” issue, but points to future volatility. To this point its likely that the options structure doesn’t change materially until 2/19 monthly OPEX.
3700-3900 into Feb OPEX
|Signal Name||Latest Data||Previous||SPY||NDX||QQQ|
|SG Gamma Index™:||1.32||1.45||0.14||0.03||-0.00|
|SGI Imp. 1 Day Move:||0.83%,||32.0 pts||Range: 3867.0 | 3931.0|
|SGI Imp. 5 Day Move:||3899||2.06%||Range: 3819.0 | 3979.0|
|Zero Gamma Level(ES Px):||3802||3788||—||0|
|Vol Trigger™(ES Px):||3785||3785||384||12800||328|
|SG Abs. Gamma Strike:||3800||3800||385||12800||330|
|Put Wall Support:||3550||3550||370||12800||310|
|Call Wall Strike:||3900||3900||395||13950||335|
|CP Gam Tilt:||1.64||1.51||1.47||1.92||0.99|
|Delta Neutral Px:||3680|
|25D Risk Reversal||-0.08||-0.08||-0.08||-0.06||-0.06|
|Top Absolute Gamma Strikes:
SPX: [3900, 3850, 3800, 3700]
SPY: [395, 390, 385, 380]
QQQ: [330, 325, 320, 315]
NDX:[13500, 13000, 12825, 12800]
SPX Combo: [3909.0, 4010.0, 3960.0, 3936.0, 3921.0]
NDX Combo: [13824.0, 14029.0, 13619.0]
SPX resistance is: 3900. Support is: 3800 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved DOWN: $585MM from: $589.00MM
Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5%