Futures are at 4090 after making new highs of 4012 overnight. With little change in call open interest, 4100 remains the Call Wall resistance point. There were some interesting put interest changes, with ~20k added to both 4075 & 4080 and ~17k added to the 4000 strike. This has changed the distribution of gamma to the downside, with the Zero Gamma level shifting higher to 4020. Despite these changes the forecast for today continues to call for low volatility remains: 21pt estimate range. Its likely these changes lead to a change in range away from 4100 for next week.
While the estimated range did not change much for today, our EH view shows an inflection point at 4090, under which we could see a moderate uptick in volatility. As you can see in the chart below, its >4115 and <4090 that volatility may uptick due to the change in distribution noted above. We see support at 4075 and then 4050.
Macro Note:
4100 resistance and 4000 support into April OPEX. Gamma is large and positive, which implies low volatility and a tailwind for equities.
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4091 | 4095 | 408 | 13745 | 335 |
| VIX Ref: | 16.95 | 16.95 | |||
| SG Gamma Index™: | 1.55 | 1.56 | 0.17 | 0.01 | 0.01 |
| Gamma Notional(MM): | $539 | $746 | $728 | $2 | $26 |
| SGI Imp. 1 Day Move: | 0.52%, | 21.0 pts | Range: 4070.0 | 4112.0 | ||
| SGI Imp. 5 Day Move: | 3950 | 1.67% | Range: 3884.0 | 4016.0 | ||
| Zero Gamma Level(ES Px): | 4020 | 3994 | — | 0 | |
| Vol Trigger™(ES Px): | 3965 | 3940 | 408 | 13540 | 334 |
| SG Abs. Gamma Strike: | 4100 | 4000 | 410 | 12850 | 330 |
| Put Wall Support: | 4080 | 3760 | 406 | 13500 | 290 |
| Call Wall Strike: | 4100 | 4100 | 410 | 13750 | 340 |
| CP Gam Tilt: | 1.66 | 1.71 | 1.23 | 1.17 | 1.02 |
| Delta Neutral Px: | 3861 | ||||
| Net Delta(MM): | $1,241,101 | $1,204,920 | $182,004 | $40,404 | $75,394 |
| 25D Risk Reversal | -0.04 | -0.05 | -0.05 | -0.05 | -0.04 |
| Top Absolute Gamma Strikes: SPX: [4100, 4075, 4050, 4000] SPY: [410, 409, 408, 407] QQQ: [340, 335, 334, 330] NDX:[14000, 13750, 13500, 12850] SPX Combo: [4093.0, 4106.0, 4118.0, 4142.0, 4073.0] NDX Combo: [13927.0, 13721.0, 13762.0, 13844.0, 13460.0] The Volatility Trigger has moved UP: 3965 from: 3940 The PutWall has moved to: 4080 from: 3760 SPX resistance is: 4100 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $539MM from: $745.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
