There was little movement in futures overnight, which are currently at 3960. The 400/4000 Call Wall has grown in size which increases its “pull”, however total gamma is little changed in the S&P500. The key levels for today are 3990, 3966, 3950 and 3939. Due to the FOMC tomorrow we do not expect much movement today, and that is reflected by the SG Index which forecasts a 84bps range today.
You can see the rotation of gamma up into the large 4000 strike in the chart below, which is particularly evident when comparing to yesterdays chart. While some of this gamma change can certainly be attributed to higher SPX prices, we’d note about 10k 4000 strike calls were added yesterday, along with 100k SPY calls (to 400).
Nasdaq/QQQ gamma remains negative, but that continues to reduce. The March expiration should flush out the remainder of that negative gamma position as shown in the gamma model below. This is implied by the fact that the blue line shifts closer to $0 notional gamma (y axis).
Markets will remain heavily focused on tomorrows FOMC, but that does not change the fact we have these two large gamma zones at 3900 & 4000. Our models continue to suggest that we remain contained in this large gamma zone until after 3/19 Monthly OPEX. As long as the Fed doesn’t massively disappoint then we give edge to the 4000 pin, as implied volatility usually contracts following these events. This lower implied volatility can lead to dealers buying back short futures (vanna).
Macro Note:
3800 support 4000 resistance into March OPEX
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3957 | 3956 | 396 | 13119 | 318 | ||
| VIX Ref: | 20.03 | 20.03 | |||||
| SG Gamma Index™: | 1.45 | 0.95 | 0.34 | -0.00 | -0.08 | ||
| Gamma Notional(MM): | $391 | $545 | $1,664 | $1 | $-446 | ||
| SGI Imp. 1 Day Move: | 0.84%, | 33.0 pts | Range: 3924.0 | 3990.0 | ||||
| SGI Imp. 5 Day Move: | 3927 | 2.06% | Range: 3846.0 | 4008.0 | ||||
| Zero Gamma Level(ES Px): | 3888 | 3888 | — | 0 | |||
| Vol Trigger™(ES Px): | 3885 | 3860 | 389 | 12975 | 317 | ||
| SG Abs. Gamma Strike: | 3900 | 3900 | 400 | 12800 | 315 | ||
| Put Wall Support: | 3700 | 3800 | 380 | 12500 | 310 | ||
| Call Wall Strike: | 4000 | 4000 | 400 | 13700 | 330 | ||
| CP Gam Tilt: | 1.59 | 1.37 | 1.64 | 1.05 | 0.71 | ||
| Delta Neutral Px: | 3735 | ||||||
| Net Delta(MM): | $1,437,398 | $1,412,791 | $212,143 | $41,820 | $82,632 | ||
| 25D Risk Reversal | -0.05 | -0.05 | -0.06 | -0.07 | -0.08 | ||
| Top Absolute Gamma Strikes: SPX: [4000, 3950, 3925, 3900] SPY: [400, 397, 395, 390] QQQ: [320, 315, 310, 300] NDX:[13000, 12900, 12800, 12500] SPX Combo: [3990.0, 3939.0, 3966.0, 3994.0, 4014.0] NDX Combo: [12755.0, 12886.0] The Volatility Trigger has moved UP: 3885 from: 3860 The PutWall has moved to: 3700 from: 3800 SPX resistance is: 4000. Support is: 3900 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $391MM from: $545.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
