Futures pulled back some to 4420. We saw a decent build in gamma which should support markets, and decrease volatility a bit today. 4400 remains the critical support line, as we see gamma flipping back to negative below that level. To the upside we see resistance at 4451.
Last night we posited that there was heavy call selling into the 4450 level, and this AM’s data seems to support that. If you review yesterdays volume and OI changes you can see 4450/445 calls led the way which leads to a strong buildup in positions at that strike. There is a fair amount of gamma in this area for todays expiration, which could produce a pin if the S&P pushes higher into 4455.
Overall we saw calls fill in and traders start to discount hedging prices (the risk reversal declined to -0.08 from -.11). We give edge to implied volatility declining and markets lifting into the 4450 area for today, and hold that view until/unless 4400 is broken. Beneath 4400 we see negative gamma increasing sharply which could lead to dealers shorting and a large spike in volatility. 4350 would likely be first support in that scenario.
Model Overview:
4400 critical support, 4500 upside of our range into 10/15 OPEX.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4422 | 4425 | 443 | 15283 | 372 |
| SpotGamma Imp. 1 Day Move: | 1.05%, | 46.0 pts | Range: 4376.0 | 4468.0 | ||
| SpotGamma Imp. 5 Day Move: | 2.6% | 4383 (Monday Ref Px) | Range: 4269.0 | 4497.0 | ||
| SpotGamma Gamma Index™: | 0.51 | 0.52 | -0.02 | 0.04 | -0.08 |
| Volatility Trigger™: | 4405 | 4405 | 443 | 15075 | 373 |
| SpotGamma Absolute Gamma Strike: | 4450 | 4450 | 445 | 15500 | 370 |
| Gamma Notional(MM): | $-205 | $-176 | $-100 | $4 | $-397 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4421 | 4466 | 0 | 0 | 0 |
| Put Wall Support: | 4200 | 4200 | 435 | 14725 | 370 |
| Call Wall Strike: | 4500 | 4500 | 450 | 15375 | 378 |
| CP Gam Tilt: | 1.13 | 0.91 | 0.98 | 1.42 | 0.81 |
| Delta Neutral Px: | 4334 | ||||
| Net Delta(MM): | $1,404,337 | $1,405,211 | $191,257 | $43,080 | $91,260 |
| 25D Risk Reversal | -0.08 | -0.08 | -0.07 | -0.08 | -0.07 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4500, 4475, 4450, 4400] |
| SPY: [450, 445, 443, 440] |
| QQQ: [378, 375, 373, 370] |
| NDX:[16000, 15500, 15375, 15000] |
| SPX Combo: [4473.0, 4407.0, 4526.0, 4451.0, 4491.0] |
| SPY Combo: [448.05, 441.41, 453.37, 445.84, 449.83] |
| NDX Combo: [15435.0, 15298.0, 15115.0, 14917.0, 15070.0] |
