Futures have pushed higher from Thursdays close, to 4030. With that the Call Wall (resistance) has shifted to 4050 for SPX and 410 for SPY. With this move higher the total market gamma increases (total S&P gamma ~$2bn) which indicates a reduction in volatility and a tighter estimated range (SG Est move=0.63%).
The largest gamma strike remains at 4000 which should provide support today. Part of the reason for our shift in the Call Wall to 4050 was the addition of ~20k puts to 4000 on Thursday. We view this as constructive as it “backfills” the move higher with support.
For the first time in many weeks we now see QQQ gamma as flat (it was sharply negative) and anticipate a reduction in volatility there, too. There is not much resistance on rallies, but we do see it as “resistance” as opposed to the negative gamma/vanna tailwind of the last several days.
Overall we see little signs of major risk, and the SPX options markets appear to be re-syncing with the pre covid-Crash behavior (large gamma building, levels systematically rolling up). Our models look for a slow consistent grind higher now, likely into 4/16 OPEX.
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Macro Note:
3900-4000 key April Range.
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 4031 | 4010 | 403 | 13363 | 326 | ||
| VIX Ref: | 17.74 | 17.33 | |||||
| SG Gamma Index™: | 1.50 | 1.48 | 0.10 | 0.01 | -0.04 | ||
| Gamma Notional(MM): | $714 | $541 | $1,172 | $2 | $-181 | ||
| SGI Imp. 1 Day Move: | 0.63%, | 25.0 pts | Range: 4006.0 | 4056.0 | ||||
| SGI Imp. 5 Day Move: | 4031 | 1.91% | Range: 3954.0 | 4109.0 | ||||
| Zero Gamma Level(ES Px): | 3931 | 3940 | — | 0 | |||
| Vol Trigger™(ES Px): | 3920 | 3920 | 399 | 12725 | 320 | ||
| SG Abs. Gamma Strike: | 4000 | 4000 | 400 | 12850 | 330 | ||
| Put Wall Support: | 3800 | 3800 | 380 | 12500 | 290 | ||
| Call Wall Strike: | 4050 | 4050 | 410 | 12850 | 330 | ||
| CP Gam Tilt: | 1.76 | 1.5 | 1.5 | 1.21 | 0.85 | ||
| Delta Neutral Px: | 3805 | ||||||
| Net Delta(MM): | $1,086,598 | $1,080,803 | $161,660 | $35,577 | $69,934 | ||
| 25D Risk Reversal | -0.06 | -0.05 | -0.05 | -0.06 | -0.05 | ||
| Top Absolute Gamma Strikes: SPX: [4050, 4000, 3950, 3900] SPY: [400, 399, 395, 390] QQQ: [330, 320, 315, 310] NDX:[13750, 13000, 12850, 12500] SPX Combo: [4059.0, 4011.0, 4112.0, 4035.0, 4043.0] NDX Combo: [13596.0, 12981.0] SPX resistance is: 4050. Support is: 4000 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $714MM from: $541.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
