Futures are holding flat to last nights close, holding near that key 3950 area. The most notable flow from yesterday was a net ~20k (each, puts and calls) added to 3950. The impact of this is 3950 showing with larger total gamma now than 4000. 395 in SPY is also registering the largest call strike by far, adding to the resistance at this level.
For today we anticipate another low volatility trading day, with our range into Friday is likely 3900-3950. Its often in these final days before a large OPEX that ranges tighten and flows consolidate.
Ahead of tomorrows Congressional hearings, we posted yesterday an in depth analysis of the GME saga (here). We will also be hosting a YouTube live session tonight at 5pm EST to talk about our findings.
Macro Note:
3900-3950 into Feb OPEX
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3928 | 3929 | 392 | 13742 | 335 | ||
| VIX Ref: | 21.24 | 21.46 | |||||
| SG Gamma Index™: | 0.99 | 1.38 | 0.16 | 0.04 | -0.01 | ||
| Gamma Notional(MM): | $336 | $526 | $885 | $5 | $-140 | ||
| SGI Imp. 1 Day Move: | 0.67%, | 26.0 pts | Range: 3902.0 | 3954.0 | ||||
| SGI Imp. 5 Day Move: | 3899 | 2.06% | Range: 3819.0 | 3979.0 | ||||
| Zero Gamma Level(ES Px): | 3860 | 3860 | — | 0 | |||
| Vol Trigger™(ES Px): | 3865 | 3845 | 392 | 13590 | 334 | ||
| SG Abs. Gamma Strike: | 3900 | 3900 | 395 | 12800 | 330 | ||
| Put Wall Support: | 3700 | 3550 | 380 | 13450 | 320 | ||
| Call Wall Strike: | 4000 | 4000 | 395 | 14000 | 340 | ||
| CP Gam Tilt: | 1.41 | 1.42 | 1.3 | 1.46 | 0.88 | ||
| Delta Neutral Px: | 3736 | ||||||
| Net Delta(MM): | $1,294,195 | $1,296,515 | $209,819 | $40,960 | $74,447 | ||
| 25D Risk Reversal | -0.07 | 0.8 | -0.09 | -0.1 | -0.1 | ||
| Top Absolute Gamma Strikes: SPX: [4000, 3950, 3900, 3800] SPY: [400, 395, 390, 385] QQQ: [340, 335, 330, 320] NDX:[14000, 13850, 13500, 12800] SPX Combo: [4018.0, 3971.0, 3979.0, 3959.0, 3995.0] NDX Combo: [13928.0, 13969.0, 13722.0, 14134.0, 13873.0] The Volatility Trigger has moved UP: 3865 from: 3845 The PutWall has moved to: 3700 from: 3550 SPX resistance is: 4000. Support is: 3900 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $336MM from: $526.00MM 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% |
