Futures are at 4445, well off overnight highs of 4472. We look for lower volatility today, with an Implied 1 day SPX max move of 0.91%. We note resistance at 4460 and 4490, with support at 4415.
A big point of conversation this week will be the quarterly JPM collar roll, which currently holds short calls at 4430 (more here). These calls expire and are likely rolled on 9/30 (Thursday) – an expiration which currently holds >20% of total SPX gamma. The size of this expiration likely invokes some volatility (i.e. gamma “unclenching”) in/around Thursday.
As you can see below the gamma tied to this 4430 strike is still less than that of 4400/4450, and we think this overall position provides decent support on any drawdown. The 4500 Call Wall remains our upside target for this week.
Our call out of the FOMC was for a large directional move, and thus far the S&P has managed 1-2%. Our vanna model portrays a very neutral setup, which suggests that big rally fuel from last week has exhausted. Markets can certainly move higher, but the velocity of that move is now reduced. That being said, we note overall implied volatility (ie VIX) remains elevated, and we’d anticipate that reverting lower which supplies a light tail wind for stocks.
For the downside it would take a pretty decent punch to break 4400. If 4400 is breached we think volatility expands drastically due to negative gamma. We anticipate 4400 being the critical support line into Thursdays expiration.
Model Overview:
4500 resistance, 4400 support into 10/15 OPEX.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4465 | 4442 | 443 | 15283 | 372 |
| SpotGamma Imp. 1 Day Move: | 0.91%, | 41.0 pts | Range: 4424.0 | 4506.0 | ||
| SpotGamma Imp. 5 Day Move: | 2.11% | 4465 (Monday Ref Px) | Range: 4371.0 | 4559.0 | ||
| SpotGamma Gamma Index™: | 0.48 | 0.52 | -0.02 | 0.04 | -0.08 |
| Volatility Trigger™: | 4415 | 4405 | 443 | 15075 | 373 |
| SpotGamma Absolute Gamma Strike: | 4450 | 4450 | 445 | 15500 | 370 |
| Gamma Notional(MM): | $157 | $5 | $-100 | $4 | $-397 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4430 | 4421 | 0 | 0 | 0 |
| Put Wall Support: | 4200 | 4200 | 435 | 14725 | 370 |
| Call Wall Strike: | 4500 | 4500 | 450 | 15375 | 378 |
| CP Gam Tilt: | 1.13 | 1.0 | 0.98 | 1.42 | 0.81 |
| Delta Neutral Px: | 4311 | ||||
| Net Delta(MM): | $1,386,950 | $1,410,529 | $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, 4450, 4430, 4400] |
| SPY: [450, 445, 443, 440] |
| QQQ: [378, 375, 373, 370] |
| NDX:[16000, 15500, 15375, 15000] |
| SPX Combo: [4514.0, 4442.0, 4563.0, 4590.0, 4415.0] |
| SPY Combo: [448.35, 441.25, 453.23, 455.9, 438.58] |
| NDX Combo: [15592.0, 15454.0, 15269.0, 15069.0, 15223.0] |
