Futures are once again flat at 4065 after a quiet overnight session. There were virtually no shifts in data, with 4050 remaining support and 4091 resistance. Once again the forecast is for a low volatility day with an estiated move of 0.63%.
While markets are digesting recent gains its clear the options traders holds bullish expectations. Our risk reversal metric currently reads at -0.05 which rivals the highest level in over a year, and suggests that call prices remain elevated vs puts.
Along this line, we recently we came across this chart which highlights how much call prices have shifted up relative to puts in small caps.
This bullish tilt to markets is of course no secret, but the options market seems poised to suppress volatility and support the bull cause for the next several days. Support starts to chip away with ~10% of notional gamma rolling off Friday, and 30% on 4/16. In the interim the volatility trigger remains well below at 3940, and we think it would take serious selling to break the 4000 level.
Macro Theme:
4100 resistance, 4000 support. Bulls have the edge while markets remain above the Volatility Trigger line of 3940. We do not see any major change in options metrics for the next several days, and anticipate low volatility into 4/16 expiration.
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 4066 | 4064 | 406 | 13574 | 330 | ||
| VIX Ref: | 18.12 | 18.12 | |||||
| SG Gamma Index™: | 1.48 | 1.68 | 0.20 | 0.01 | -0.00 | ||
| Gamma Notional(MM): | $538 | $632 | $922 | $2 | $-52 | ||
| SGI Imp. 1 Day Move: | 0.63%, | 26.0 pts | Range: 4040.0 | 4092.0 | ||||
| SGI Imp. 5 Day Move: | 4031 | 1.91% | Range: 3954.0 | 4109.0 | ||||
| Zero Gamma Level(ES Px): | 3965 | 3934 | — | 0 | |||
| Vol Trigger™(ES Px): | 3940 | 3920 | 401 | 12725 | 321 | ||
| SG Abs. Gamma Strike: | 4000 | 4000 | 410 | 12850 | 330 | ||
| Put Wall Support: | 3850 | 3850 | 380 | 12500 | 290 | ||
| Call Wall Strike: | 4100 | 4100 | 410 | 13750 | 335 | ||
| CP Gam Tilt: | 1.69 | 1.62 | 1.31 | 1.29 | 0.96 | ||
| Delta Neutral Px: | 3838 | ||||||
| Net Delta(MM): | $1,177,205 | $1,142,321 | $178,129 | $38,317 | $73,090 | ||
| 25D Risk Reversal | -0.05 | -0.05 | -0.05 | -0.04 | -0.05 | ||
| Top Absolute Gamma Strikes: SPX: [4100, 4050, 4000, 3900] SPY: [410, 406, 405, 400] QQQ: [335, 330, 325, 320] NDX:[13750, 13500, 13000, 12850] SPX Combo: [4091.0, 4107.0, 4042.0, 3993.0, 4144.0] NDX Combo: [13763.0, 13967.0, 13560.0] The Volatility Trigger has moved UP: 3940 from: 3920 SPX resistance is: 4100. Support is: 4000 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $538MM from: $631.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
