Futures have pulled back some to 4055 after a fairly quiet overnight session. The Call Wall strike rolls to 4100 which matches the SPY 410 Call Wall. 4100 is now major resistance, with 4050 initial support.
With high gamma our estimated trading range on the day stays low at 0.65%, and there is a fairly established range of 4000-4100 setting up into April OPEX (4/16).
The other view of the SPX options position is through the vanna models which show an even steeper skew towards dealers needing to sell ES to hedge at higher prices. (If you try out the new vanna page you can toggle the dates to see how estimates have shifted). This “skew” indicates to us that a fairly substantial round of buying power is needed to push through 4100. We expand on this a bit more here.
Finally, in regards to the estimated move we wanted to share this chart of the last two sessions. Many of you are familiar with the “overnight outpeformance” of the S&P, and this “outperformance” was quite large the last two days. As you can see about 1/2 of the days gains (vs previous close) were captured on the opening print, and even larger if you shift the measurement toward 12 EST (EU closing time). The point is that we are not getting runaway negative gamma type moves in cash sessions, and most of the volatility seems to be induced pre-market.
Macro Note:
4050 resistance, 4000 support.
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 4059 | 4068 | 403 | 13581 | 326 | ||
| VIX Ref: | 17.91 | 17.91 | |||||
| SG Gamma Index™: | 1.68 | 1.52 | 0.19 | 0.02 | -0.00 | ||
| Gamma Notional(MM): | $607 | $860 | $356 | $2 | $-270 | ||
| SGI Imp. 1 Day Move: | 0.64%, | 26.0 pts | Range: 4033.0 | 4085.0 | ||||
| SGI Imp. 5 Day Move: | 4031 | 1.91% | Range: 3954.0 | 4109.0 | ||||
| Zero Gamma Level(ES Px): | 3929 | 3937 | — | 0 | |||
| Vol Trigger™(ES Px): | 3920 | 3920 | 400 | 12725 | 320 | ||
| SG Abs. Gamma Strike: | 4000 | 4000 | 400 | 12850 | 330 | ||
| Put Wall Support: | 3850 | 3800 | 380 | 12500 | 290 | ||
| Call Wall Strike: | 4100 | 4050 | 410 | 12850 | 335 | ||
| CP Gam Tilt: | 1.94 | 2.04 | 1.12 | 1.3 | 0.79 | ||
| Delta Neutral Px: | 3831 | ||||||
| Net Delta(MM): | $1,140,916 | $1,096,436 | $171,905 | $37,894 | $71,105 | ||
| 25D Risk Reversal | -0.05 | -0.06 | -0.05 | -0.05 | -0.05 | ||
| Top Absolute Gamma Strikes: SPX: [4100, 4050, 4000, 3900] SPY: [410, 405, 400, 395] QQQ: [340, 335, 330, 320] NDX:[13750, 13500, 13000, 12850] SPX Combo: [4077.0, 4028.0, 3980.0, 4093.0, 4105.0] NDX Combo: [13715.0, 13919.0, 13512.0] The PutWall has moved to: 3850 from: 3800 The Call Wall has moved to: 4100 from: 4050 SPX resistance is: 4100. Support is: 4000 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $607MM from: $860.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
