Futures have pulled back to 3940 as the market awaits the 2pm EST FOMC. Major SG levels remain unchanged, and while the FOMC always contains the possibility of inducing volatility we give edge to markets “mean reverting” and initial move today, and holding the major gamma range of 3900-4000 into Fridays close.
Our models suggest a max move of 77bps today with key levels showing as 3950, 3975. 4000 remains the Call Wall and major resistance into Fridays close. Alternatively should Powell upset markets, we’d look for 3900 support.
One thing we’re watching closely is how much positive SPX gamma has reduced here, holding just 150mm. SPY is much larger at 1.3bn. This appears to be a function of SPY being much more call heavy >=395, so there seems to be a juxtaposition between “retail” (SPY) and “institutional” (SPX). This is a story that likely does not matter before Friday, but is worth monitoring.
We often talk about how market volatility declines into the large monthly OPEX, and that is portrayed in the graphs below. These charts show the intraday range for markets and you can see that into OPEX (blue arrows) the market “compresses”, i.e. the intraday trading range consolidates.
Macro Note:
3800 support 4000 resistance into March OPEX
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3939 | 3943 | 395 | 13077 | 320 | ||
| VIX Ref: | 20.69 | 19.79 | |||||
| SG Gamma Index™: | 1.16 | 1.16 | 0.30 | 0.00 | -0.08 | ||
| Gamma Notional(MM): | $151 | $190 | $1,396 | $-1 | $-469 | ||
| SGI Imp. 1 Day Move: | 0.77%, | 30.0 pts | Range: 3909.0 | 3969.0 | ||||
| SGI Imp. 5 Day Move: | 3927 | 2.06% | Range: 3846.0 | 4008.0 | ||||
| Zero Gamma Level(ES Px): | 3900 | 3888 | — | 0 | |||
| Vol Trigger™(ES Px): | 3890 | 3890 | 393 | 13130 | 320 | ||
| SG Abs. Gamma Strike: | 3900 | 3900 | 395 | 12800 | 315 | ||
| Put Wall Support: | 3800 | 3800 | 380 | 13130 | 310 | ||
| Call Wall Strike: | 4000 | 4000 | 400 | 13700 | 330 | ||
| CP Gam Tilt: | 1.39 | 1.1 | 1.46 | 0.94 | 0.71 | ||
| Delta Neutral Px: | 3775 | ||||||
| Net Delta(MM): | $1,463,606 | $1,465,092 | $212,938 | $42,344 | $84,750 | ||
| 25D Risk Reversal | -0.05 | -0.05 | -0.07 | -0.08 | -0.08 | ||
| Top Absolute Gamma Strikes: SPX: [4000, 3950, 3925, 3900] SPY: [400, 397, 395, 390] QQQ: [330, 320, 315, 310] NDX:[13000, 12900, 12800, 12500] SPX Combo: [3973.0, 3949.0, 4000.0, 3925.0, 3977.0] NDX Combo: [13365.0, 13326.0, 12767.0] SPX resistance is: 4000. Support is: 3900 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $151MM from: $190.00MM 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% |
