Futures made an overnight high of 4092, but have pulled back slightly to 4080. This push higher could place the market up against the 4100 Call Wall today, which we consider resistance. However we mark the larger resistance line at 4109 which is a large Combo strike that incorporates the 410 SPY Call Wall (which is 2x the notional of the SPX wall). Initial support is 4060, with an SG implied move of just 53bps today.
Yesterdays SPX volume brought a net addition of 15k calls to 4100, and 20k puts to 4075. This helps to “fill in” interest around current SPX prices and provide support. The major risk lines continue to hold down <4000. At the moment we mark 10-15% of gamma rolling off on Friday’s expiration (4/9) which is a material amount, and could shift the estimated range into next week. However for today we’re just looking for a 22pt max move (SG Implied Move).
We’d note that NDX/QQQ continues to hold a flat gamma position, but that gamma level should pick up with a move into $335. The QQQ Risk Reversal metric is also a bit higher (aka more call skewed) than S&P (-0.04 vs -0.05) which suggests that if you are looking for a bit more volatility/movement, NDX/QQQ remains the place to look.
Macro Note:
4100 resistance, 4000 support.
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 4090 | 4075 | 407 | 13731 | 334 | ||
| VIX Ref: | 17.16 | 17.16 | |||||
| SG Gamma Index™: | 1.56 | 1.49 | 0.17 | 0.02 | -0.00 | ||
| Gamma Notional(MM): | $709 | $602 | $767 | $3 | $-32 | ||
| SGI Imp. 1 Day Move: | 0.53%, | 22.0 pts | Range: 4068.0 | 4112.0 | ||||
| SGI Imp. 5 Day Move: | 4031 | 1.91% | Range: 3954.0 | 4109.0 | ||||
| Zero Gamma Level(ES Px): | 3988 | 3974 | — | 0 | |||
| Vol Trigger™(ES Px): | 3940 | 3940 | 406 | 12725 | 329 | ||
| SG Abs. Gamma Strike: | 4000 | 4000 | 410 | 12850 | 330 | ||
| Put Wall Support: | 3760 | 3850 | 406 | 12500 | 290 | ||
| Call Wall Strike: | 4100 | 4100 | 410 | 13750 | 335 | ||
| CP Gam Tilt: | 1.73 | 1.53 | 1.27 | 1.48 | 0.97 | ||
| Delta Neutral Px: | 3831 | ||||||
| Net Delta(MM): | $1,203,229 | $1,179,883 | $174,419 | $38,886 | $73,783 | ||
| 25D Risk Reversal | -0.05 | -0.05 | -0.05 | -0.04 | -0.04 | ||
| Top Absolute Gamma Strikes: SPX: [4100, 4050, 4000, 3900] SPY: [410, 407, 405, 400] QQQ: [335, 330, 325, 320] NDX:[13750, 13500, 13000, 12850] SPX Combo: [4109.0, 4060.0, 4133.0, 4158.0, 4006.0] NDX Combo: [13856.0, 14062.0, 13651.0, 13898.0] The PutWall has moved to: 3760 from: 3850 SPX resistance is: 4100. Support is: 4000 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $708MM from: $601.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
