ES futures pushed back up to yesterdays highs near 3980, and NQ futures have made new highs to 13205. 400/4000 is obviously the big number for today as it is the SPY/SPX Call Wall and therefore a resistance/magnet point. Our view is that the market likely does shift higher without the Call Wall rolling to a higher strike. As you can see below, at the moment there are currently no higher strikes approaching the size of 400/4000.
To the downside our Vol Trigger and gamma flips lines have shifted up to 3950, indicating that as critical support.
In NQ/QQQ our view extends from last night that the “short cover” from all those put options is likely stalling out here with negative gamma now reduce substantially. The vanna chart below shows that dealers hedge is now roughly flat, and may turn into some light selling near 324/235.
Macro Note:
3900-4000 key April Range.
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3979 | 3971 | 397 | 13207 | 322 | ||
| VIX Ref: | 18.56 | 19.4 | |||||
| SG Gamma Index™: | 0.80 | 0.80 | 0.09 | 0.00 | -0.06 | ||
| Gamma Notional(MM): | $315 | $245 | $655 | $1 | $-264 | ||
| SGI Imp. 1 Day Move: | 0.77%, | 31.0 pts | Range: 3948.0 | 4010.0 | ||||
| SGI Imp. 5 Day Move: | 3950 | 1.67% | Range: 3884.0 | 4016.0 | ||||
| Zero Gamma Level(ES Px): | 3940 | 3931 | — | 0 | |||
| Vol Trigger™(ES Px): | 3940 | 3940 | 394 | 12725 | 318 | ||
| SG Abs. Gamma Strike: | 4000 | 4000 | 400 | 12850 | 320 | ||
| Put Wall Support: | 3800 | 3800 | 380 | 12500 | 290 | ||
| Call Wall Strike: | 4000 | 4000 | 400 | 12850 | 330 | ||
| CP Gam Tilt: | 1.34 | 1.2 | 1.23 | 1.1 | 0.8 | ||
| Delta Neutral Px: | 3813 | ||||||
| Net Delta(MM): | $1,038,326 | $1,036,174 | $157,777 | $34,139 | $72,226 | ||
| 25D Risk Reversal | -0.06 | -0.06 | -0.06 | -0.05 | -0.06 | ||
| Top Absolute Gamma Strikes: SPX: [4000, 3975, 3950, 3900] SPY: [400, 397, 395, 390] QQQ: [330, 320, 315, 310] NDX:[13500, 13000, 12850, 12500] SPX Combo: [4006.0, 4053.0, 4014.0, 4029.0, 4025.0] NDX Combo: [12818.0, 12963.0, 13029.0, 13320.0] SPX resistance is: 4000 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $315MM from: $245.00MM 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% |
