Futures tested a low of 4325 before recovering to 4365. This market is wound up, and ready for a large move due to the high implied volatility and negative gamma. 4400 is first resistance, followed by 4430. Support lies at 4315 and 4400.
The highlight of today is the 2pm ET FOMC session, which should serve as the catalyst for the next several days. If the market is appeased by Powell then the very high skew (expensive puts to cheap calls) could unwind leading to a vicious rally. Should the market turn south off of the FOMC then any selling would be compounded by the negative gamma position.
Off of this, you can see the “gamma landscape” here in the EquityHub screenshot. This portrays that gamma node at 4430 (call wall + zero gamma) and the inflection point (support) at 4300.
Key to the last several days has been this: we have not see any data to suggest material put buying, despite market weakness. If puts were bought then that would add market pressure because dealers have to short futures to hedge. If traders come out of the FOMC needed to buy downside put hedges then that adds additional selling.
The bottom line is that we expect some large swings today, and for the market to “stage” at either 4430 or 4300 into the close today, which could set the direction for a large move into Friday.
Model Overview:
Due to FOMC day we expect high volatility. 4425 resistance, and 4300 support.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4366 | 4336 | 433 | 15069 | 366 |
| SpotGamma Imp. 1 Day Move: | 2.7%, | 118.0 pts | Range: 4248.0 | 4484.0 | ||
| SpotGamma Imp. 5 Day Move: | 2.6% | 4383 (Monday Ref Px) | Range: 4269.0 | 4497.0 | ||
| SpotGamma Gamma Index™: | -1.10 | -0.99 | -0.35 | 0.02 | -0.13 |
| Volatility Trigger™: | 4380 | 4410 | 440 | 15000 | 372 |
| SpotGamma Absolute Gamma Strike: | 4450 | 4450 | 430 | 15500 | 370 |
| Gamma Notional(MM): | $-499 | $-645 | $-1,421 | $2 | $-661 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4433 | 4436 | 0 | 0 | 0 |
| Put Wall Support: | 4200 | 4300 | 430 | 14725 | 350 |
| Call Wall Strike: | 4430 | 4430 | 450 | 15375 | 378 |
| CP Gam Tilt: | 0.73 | 0.63 | 0.65 | 1.25 | 0.62 |
| Delta Neutral Px: | 4344 | ||||
| Net Delta(MM): | $1,362,979 | $1,358,553 | $193,808 | $41,353 | $93,539 |
| 25D Risk Reversal | -0.11 | -0.12 | -0.1 | -0.1 | -0.1 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4500, 4450, 4400, 4350] |
| SPY: [450, 440, 435, 430] |
| QQQ: [375, 370, 360, 350] |
| NDX:[16000, 15500, 15375, 15000] |
| SPX Combo: [4440.0, 4314.0, 4261.0, 4331.0, 4301.0] |
| SPY Combo: [441.0, 428.43, 423.22, 430.16, 427.13] |
| NDX Combo: [15414.0, 14811.0, 15022.0, 15233.0, 14736.0] |
