Futures have returned to yesterdays session lows of 3936. Total S&P gamma remains robust at >$1.5bn, with 3950 being the largest gamma strike on the board. Going into yesterday 3900 held the largest gamma strike; the shift to 3950 is due to some 35k calls and 40k puts being added at that level. This is quite large “straddle” type volume and may help lock 3950 as Fridays pin. We estimate 35% of SPX gamma, and 25% of QQQ expiring tomorrow.
We continue to look for mean reversion in markets with initial downward pressure slowing around current implied opening prices (~3940). Our models suggest just a 78bps range today with key levels being 3900, 3950, and 3967.
Along with large strike shift, the Vol Trigger has moved up to 3920 and the picture <3900 is a “no mans land”. The Call Wall and large resistance remains at 4000.
While we give edge to a pin, we must acknowledge the fuel for downside here. The QQQ gamma remains quite negative down to the 300 level and it appears there is little in the way of support <3900 in SPX. You can see how this QQQ selling accelerates when you add in a shift higher in implied volatility (this is shown by the dealer hedge requirement shifting from the red line to black line, explanation here). Said another way, “buying the dip” is not advised if SPX breaks 3900.
Macro Note:
3800 support 4000 resistance into March OPEX
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3967 | 3961 | 396 | 13195 | 321 | ||
| VIX Ref: | 19.23 | 19.23 | |||||
| SG Gamma Index™: | 1.30 | 1.17 | 0.39 | -0.01 | -0.07 | ||
| Gamma Notional(MM): | $348 | $365 | $1,616 | $-2 | $-479 | ||
| SGI Imp. 1 Day Move: | 0.78%, | 31.0 pts | Range: 3936.0 | 3998.0 | ||||
| SGI Imp. 5 Day Move: | 3927 | 2.06% | Range: 3846.0 | 4008.0 | ||||
| Zero Gamma Level(ES Px): | 3869 | 3896 | — | 0 | |||
| Vol Trigger™(ES Px): | 3920 | 3890 | 392 | 13130 | 319 | ||
| SG Abs. Gamma Strike: | 3950 | 3900 | 400 | 12800 | 315 | ||
| Put Wall Support: | 3900 | 3800 | 380 | 12800 | 310 | ||
| Call Wall Strike: | 4000 | 4000 | 400 | 13500 | 330 | ||
| CP Gam Tilt: | 1.45 | 1.21 | 1.64 | 0.88 | 0.72 | ||
| Delta Neutral Px: | 3773 | ||||||
| Net Delta(MM): | $1,492,696 | $1,471,686 | $199,926 | $42,808 | $80,574 | ||
| 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: [330, 320, 315, 310] NDX:[13300, 13200, 13000, 12800] SPX Combo: [3998.0, 3947.0, 3970.0, 4022.0, 3967.0] NDX Combo: [13557.0, 12948.0, 13226.0, 13359.0, 12856.0] The Volatility Trigger has moved UP: 3920 from: 3890 The PutWall has moved to: 3900 from: 3800 SPX resistance is: 4000. Support is: 3950 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $348MM from: $364.00MM 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% |
