Futures are flat to last nights close at 3909. We anticipate another day of relatively high volatility, particularly in QQQ/IWM which hold a lot of negative gamma. 3900 remains the largest gamma strike in SPX, with our negative gamma flip line at 3890. Risk is high if this level is broken, with 3850 again initial support. Upside resistance shows at 3925 and 3958.
In the vanna models for QQQ(left) and SPY(right) you can see there appears to be more directional movement in place for QQQ due to the options positioning (more puts, more negative gamma). It appears that a S&P rally is going to hit resistance around 395 as dealers begin to sell, but its a buying force in place for QQQ until ~320. Both indices have dealer selling pressure on a move down.
Finally we note the Put Wall has shifted up to 3900 from 3700 indicating that 3900 is now the most net negative gamma strike on the board. This jump implies that there are weak hedges below as opposed to size being added to 3900. In fact only 1900 puts were added to 3900 yesterday.
The takeaway is that while yesterdays dip was bought the options structure didn’t turn more bullish. Markets remained exposed to the same forces (lack of hedges) that were in place for days.
Macro Note:
3900-4000 key April Range.
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 3920 | 3901 | 391 | 12872 | 311 |
| VIX Ref: | 19.81 | 19.81 | |||
| SG Gamma Index™: | 0.16 | -0.22 | -0.06 | -0.00 | -0.16 |
| Gamma Notional(MM): | $79 | $-112 | $328 | $0 | $-898 |
| SGI Imp. 1 Day Move: | 1.33%, | 52.0 pts | Range: 3868.0 | 3972.0 | ||
| SGI Imp. 5 Day Move: | 3907 | 2.03% | Range: 3828.0 | 3986.0 | ||
| Zero Gamma Level(ES Px): | 3911 | 3891 | — | 0 | |
| Vol Trigger™(ES Px): | 3890 | 3890 | 390 | 12725 | 315 |
| SG Abs. Gamma Strike: | 3900 | 3900 | 390 | 12850 | 310 |
| Put Wall Support: | 3900 | 3700 | 380 | 12500 | 310 |
| Call Wall Strike: | 4000 | 4000 | 395 | 12850 | 330 |
| CP Gam Tilt: | 1.05 | 0.92 | 1.1 | 0.97 | 0.51 |
| Delta Neutral Px: | 3785 | ||||
| Net Delta(MM): | $1,035,514 | $1,020,667 | $154,728 | $32,686 | $77,536 |
| 25D Risk Reversal | -0.06 | -0.08 | -0.06 | -0.03 | -0.05 |
| Top Absolute Gamma Strikes: SPX: [4000, 3950, 3925, 3900] SPY: [395, 390, 388, 385] QQQ: [315, 310, 300, 290] NDX:[13750, 13000, 12850, 12000] SPX Combo: [4009.0, 3958.0, 3904.0, 3974.0, 3911.0] NDX Combo: [12813.0, 12607.0, 12723.0, 12685.0, 12981.0] The PutWall has moved to: 3900 from: 3700 SPX resistance is: 4000. Support is: 3900 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $78MM from: $-113.00MM 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% |
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