Futures are weaker this morning to 3860, but a bit off of 3840 lows. The critical line to hold is 3850, if we break that then that should lead to a quick test of 3800. Open interest at 3800 is fairly balanced (meaning put OI = call OI) and we think it would require some fairly determined selling to punch down through there.
Its under 3800 where “net puts” increase and dealer selling may increase meaningfully. This could be the line between simple “consolidation” vs “selloff”. VIX (i.e. implied volatility) is again key for today, a lower VIX could indicate a quick upside rally would target 3900. If VIX breaks higher then we look for that 3800 test.
The story in QQQ is certainly more volatile. Our Vol Trigger “gamma flip” metric is at 329 and Q’s are indicated 318. Of particular note is TSLA which is currently $680 in premarket trading which is -10% from Fridays close. With tech being such a large component of the S&P this could lead to more of a drag or hidden “negative gamma skew”.
You can see in the chart below how much more put heavy the QQQ index is than the SPX (above). If markets open weak there are large net put positions at 315, down through 310 which may add to dealer selling.
Macro Note:
March OPEX range TBD
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3890 | 3877 | 389 | 13303 | 322 | ||
| VIX Ref: | 23.45 | 23.45 | |||||
| SG Gamma Index™: | 0.16 | 0.50 | -0.03 | 0.00 | -0.12 | ||
| Gamma Notional(MM): | $51 | $-88 | $296 | $1 | $-713 | ||
| SGI Imp. 1 Day Move: | 1.12%, | 44.0 pts | Range: 3846.0 | 3934.0 | ||||
| SGI Imp. 5 Day Move: | 3890 | 2.08% | Range: 3810.0 | 3971.0 | ||||
| Zero Gamma Level(ES Px): | 3880 | 3868 | — | 0 | |||
| Vol Trigger™(ES Px): | 3850 | 3865 | 389 | 13175 | 329 | ||
| SG Abs. Gamma Strike: | 3900 | 3900 | 385 | 12800 | 320 | ||
| Put Wall Support: | 3700 | 3700 | 380 | 12500 | 320 | ||
| Call Wall Strike: | 4000 | 4000 | 395 | 13700 | 350 | ||
| CP Gam Tilt: | 1.06 | 0.94 | 1.11 | 1.07 | 0.5 | ||
| Delta Neutral Px: | 3727 | ||||||
| Net Delta(MM): | $1,231,265 | $1,209,110 | $191,642 | $38,008 | $74,854 | ||
| 25D Risk Reversal | -0.1 | -0.09 | -0.1 | -0.1 | -0.11 | ||
| Top Absolute Gamma Strikes: SPX: [4000, 3900, 3850, 3800] SPY: [395, 390, 385, 380] QQQ: [325, 320, 315, 310] NDX:[13700, 13000, 12800, 12500] SPX Combo: [3965.0, 3941.0, 3988.0, 3914.0, 3910.0] NDX Combo: [13198.0, 12999.0, 13411.0, 13079.0] The Volatility Trigger has moved DOWN: 3850 from: 3865 SPX resistance is: 3900 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $50MM from: $-89.00MM 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% |
