Fridays price action was fairly tight, holding right in the range from Wed/Thurs. We highlighted 3 levels going into the open, 2 of which were 3912 and 3936. 3912 proved to be key support, as the market consoldated and ripped higher in the last 30 minutes to close at 3935. The key signal that markets could catch an end of day bid was the VIX. We touched on the fact that realied volatilitybroke hard the last few days, and the VIX seems to “catch down” to that, breaking down to 20 which is essentially the post-Covid low. The VIX breaking down was a signal that implied volatility was breaking down, and that dealers would need to buy futures to hedge.
Going into next week this general 3925 area holds a lot of positive gamma, but as noted several times much of this expires on 2/19. There is also a VIX expiration on Wednesday which can potentially add volatility. Add in the 2/18 Congressional GME hearings we should have an active week of trading.
Macro Note:
3900-3950
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3935 | 3907 | 393 | 13820 | 336 | ||
| VIX Ref: | 19.97 | 21.25 | |||||
| SG Gamma Index™: | 0.78 | 1.30 | 0.01 | 0.04 | -0.03 | ||
| Gamma Notional(MM): | $494 | $370 | $1,163 | $7 | $-61 | ||
| SGI Imp. 1 Day Move: | 0.78%, | 31.0 pts | Range: 3904.0 | 3966.0 | ||||
| SGI Imp. 5 Day Move: | 3899 | 2.06% | Range: 3819.0 | 3979.0 | ||||
| Zero Gamma Level(ES Px): | 3867 | 3865 | — | 0 | |||
| Vol Trigger™(ES Px): | 3920 | 3845 | 392 | 13470 | 334 | ||
| SG Abs. Gamma Strike: | 3900 | 3900 | 385 | 12800 | 330 | ||
| Put Wall Support: | 3700 | 3550 | 388 | 13450 | 320 | ||
| Call Wall Strike: | 3950 | 3900 | 395 | 14000 | 340 | ||
| CP Gam Tilt: | 1.27 | 1.26 | 1.37 | 1.82 | 0.95 | ||
| Delta Neutral Px: | 3743 | ||||||
| Net Delta(MM): | $1,303,572 | $1,270,978 | $215,763 | $45,081 | $76,208 | ||
| 25D Risk Reversal | -0.07 | -0.09 | -0.07 | -0.08 | -0.08 | ||
| Top Absolute Gamma Strikes: SPX: [4000, 3900, 3850, 3800] SPY: [395, 390, 385, 380] QQQ: [335, 330, 320, 315] NDX:[14000, 13500, 13450, 12800] SPX Combo: [4018.0, 3971.0, 3979.0, 3959.0, 3995.0] NDX Combo: [14042.0, 14083.0, 13835.0, 13917.0, 14194.0] The Volatility Trigger has moved UP: 3920 from: 3845 The PutWall has moved to: 3700 from: 3550 The Call Wall has moved to: 3950 from: 3900 SPX resistance is: 3950. Support is: 3900 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $493MM from: $369.00MM 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% |
