Futures have reversed that last 15minute explosion from Friday. Despite the elevated SPX price there is little build in positive gamma as the result of call closures (see below). However because of that increase in ES prices 4000 is now the largest SPX gamma strike, with 395 the largest SPY strike. In total we look for a lower volatility day today (SG implied move = 65bps) and note a very large Combo resistance bar at 3974. 3925 is initial support with 3950 a large “pivot” area.
QQQ gamma remains sharply negative, and we anticipate higher relative volatility as per recent days.
Most interesting from our data on Friday was call closures – and we show a lot of both SPX and SPY closed on Friday. This was not the case with puts.
The vanna models are now showing this resistance into 4000 and we note the “skew” to this chart shows more dealer selling (aka higher positive delta at higher prices) than we’ve seen in recent days.
In all, we did not pick up any particularly bullish flow from Friday. However we continue to see markets as well supported if they hold 3950 today (due to large gamma) which infers a grind up to 4000 later this week. To the downside, 3900 remains critical support with gamma flipping negative beneath there.
Macro Note:
3900-4000 key April Range.
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3950 | 3963 | 394 | 12935 | 316 | ||
| VIX Ref: | 20.1 | 18.86 | |||||
| SG Gamma Index™: | 1.17 | 0.16 | 0.13 | 0.00 | -0.09 | ||
| Gamma Notional(MM): | $275 | $483 | $262 | $0 | $-551 | ||
| SGI Imp. 1 Day Move: | 0.65%, | 26.0 pts | Range: 3924.0 | 3976.0 | ||||
| SGI Imp. 5 Day Move: | 3950 | 1.67% | Range: 3884.0 | 4016.0 | ||||
| Zero Gamma Level(ES Px): | 3910 | 3894 | — | 0 | |||
| Vol Trigger™(ES Px): | 3890 | 3890 | 392 | 12725 | 315 | ||
| SG Abs. Gamma Strike: | 4000 | 3900 | 395 | 12850 | 310 | ||
| Put Wall Support: | 3700 | 3900 | 380 | 12500 | 300 | ||
| Call Wall Strike: | 4000 | 4000 | 395 | 12850 | 330 | ||
| CP Gam Tilt: | 1.54 | 1.39 | 1.09 | 1.03 | 0.64 | ||
| Delta Neutral Px: | 3813 | ||||||
| Net Delta(MM): | $1,027,379 | $1,046,805 | $156,643 | $31,517 | $73,023 | ||
| 25D Risk Reversal | -0.07 | -0.06 | -0.06 | -0.03 | -0.07 | ||
| Top Absolute Gamma Strikes: SPX: [4000, 3950, 3925, 3900] SPY: [400, 395, 390, 385] QQQ: [320, 310, 300, 290] NDX:[13750, 13500, 13000, 12850] SPX Combo: [3974.0, 3950.0, 4025.0, 4001.0, 3926.0] NDX Combo: [12689.0, 12806.0, 13103.0] The PutWall has moved to: 3700 from: 3900 SPX resistance is: 4000 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $275MM from: $483.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
