Futures have pulled back some to 3900, which remains the Call Wall strike and major resistance. The positive gamma at 3900 remains quite a bit larger than overhead strikes, indicating it will hold as major resistance for a few days.
From from an intraday trading perspective we anticipate another tight trading range today (~80bps), with that large 3909 resistance bar shifting down to 3893 support.
The bulk of gamma remains tied to 2/19 expiration as you can see below. Its after next Fridays expiration that gamma shifts towards zero which indicates dealers have much less to hedge. For now they have a fairly robust position, and so we anticipate low index volatility into next Friday.
Single stock gamma levels remain near highs, we find it fairly remarkable that the GME saga didn’t scare off call buyers. We anticipate this position to build into 2/19, opening the window for a trend change into the last week of February.
Finally we note this fascinating synchronicity between current SPX movement and last year:
- Blue line exact same angle of increase from Q3 to now
- Red line = Jan monthly OPEX
- Red arrows = both markets saw drawdowns into Feb
- Orange line = Feb monthly OPEX
- Feb ’20 pinned to the large 3400 gamma strike
- Feb ’21 seems poised to pin to 3900 gamma strike
Macro Note:
3700-3900 into Feb OPEX
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3909 | 3909 | 390 | 13679 | 333 | ||
| VIX Ref: | 21.24 | 21.24 | |||||
| SG Gamma Index™: | 1.45 | 1.33 | 0.25 | 0.04 | 0.01 | ||
| Gamma Notional(MM): | $531 | $639 | $1,307 | $6 | $72 | ||
| SGI Imp. 1 Day Move: | 0.82%, | 32.0 pts | Range: 3877.0 | 3941.0 | ||||
| SGI Imp. 5 Day Move: | 3899 | 2.06% | Range: 3819.0 | 3979.0 | ||||
| Zero Gamma Level(ES Px): | 3812 | 3812 | — | 0 | |||
| Vol Trigger™(ES Px): | 3820 | 3785 | 384 | 12725 | 328 | ||
| SG Abs. Gamma Strike: | 3900 | 3800 | 385 | 12800 | 330 | ||
| Put Wall Support: | 3550 | 3550 | 370 | 11300 | 310 | ||
| Call Wall Strike: | 3900 | 3900 | 395 | 13950 | 335 | ||
| CP Gam Tilt: | 1.76 | 1.61 | 1.51 | 1.86 | 1.08 | ||
| Delta Neutral Px: | 3690 | ||||||
| Net Delta(MM): | $1,240,129 | $1,211,447 | $205,005 | $41,034 | $72,059 | ||
| 25D Risk Reversal | -0.08 | -0.08 | -0.07 | -0.07 | -0.07 | ||
| Top Absolute Gamma Strikes: SPX: [4000, 3900, 3850, 3800] SPY: [395, 390, 385, 380] QQQ: [330, 325, 320, 315] NDX:[13950, 13500, 13000, 12800] SPX Combo: [3893.0, 3943.0, 3994.0, 3916.0, 3951.0] NDX Combo: [13936.0, 13730.0, 13525.0] The Volatility Trigger has moved UP: 3820 from: 3785 SPX is above the Volatility Trigger™, resistance is: 3900 Support is: 3900 The total gamma has moved DOWN: $531MM from: $638.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
