Futures are down slightly to 4180. There was a build in S&P gamma as it appears traders bought yesterdays dip. 420/4200 now stands as the largest gamma line and “magnet line”, with 4175 support and 4225 resistance. The Call Wall did bump to 4250, but due to that gamma build we are looking for a fairly tight schedule 26pt max move today.
The volume yesterday at the 4200 strike was substantial (60k calls, 45k puts) which led to a net interest change of 10k calls and 25k puts. This volume/interest addition is what we think adds to the pull of this strike for today.
There is a lot of gamma expiring on todays close. We mark ~20% SPX/QQQ gamma rolling off on the close which should spark some volatility into Monday. Its rare to have such large amounts of index/etf gamma expiring on a non-monthly OPEX. Early next week is when we think either 4100 or 4250 comes into play. We’d also note ~30% of gamma expiring in AAPL, FB, NFLX, AMZN and TSLA.
Our EquityHub offers an interesting perspective on this positioning, You can see marked in the the chart below two high gamma zones of 4200 and 4000. There are large options positions near these areas and we do not think todays OPEX shifts that. However it is around these areas that positions likely shift/expire which could lead to a change in hedging flows into next week. Said another way, this would be the current 4100-4200 “sticky” gamma area shifting to a new range.
Model Overview:
4100 – 4250 range into May OPEX. Gamma is currently high, and we see fairly low volatility unless markets break the 4170 level.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4187 | 4200 | 420 | 13941 | 340 |
| SGI Imp. 1 Day Move: | 0.62%, | 26.0 pts | Range: 4161.0 | 4213.0 | ||
| SGI Imp. 5 Day Move: | 4168 | 1.83% | Range: 4092.0 | 4245.0 | ||
| SG Gamma Index™: | 1.49 | 0.83 | 0.17 | 0.02 | -0.06 |
| Vol Trigger™(ES Px): | 4170 | 4170 | 417 | 13725 | 340 |
| SG Abs. Gamma Strike: | 4200 | 4150 | 420 | 12850 | 340 |
| Gamma Notional(MM): | $217 | $420 | $445 | $2 | $-384 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level(ES Px): | 4145 | 4158 | |||
| Put Wall Support: | 3900 | 3900 | 410 | 13375 | 335 |
| Call Wall Strike: | 4250 | 4200 | 422 | 14025 | 345 |
| CP Gam Tilt: | 1.59 | 1.32 | 1.29 | 1.22 | 0.8 |
| Delta Neutral Px: | 3952 | ||||
| Net Delta(MM): | $1,373,678 | $1,333,872 | $190,798 | $40,972 | $74,534 |
| 25D Risk Reversal | -0.07 | -0.06 | -0.06 | -0.05 | -0.06 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4200, 4175, 4150, 4000] |
| SPY: [421, 422, 420, 418] |
| QQQ: [340, 338, 335, 330] |
| NDX:[14025, 14000, 13750, 12850] |
| SPX Combo: [4219, 4169, 4194, 4211, 4190] |
| NDX Combo: [13655, 14057, 13919, 13766, 14265] |
| Sub Login Support Follow @SpotGamma Strike Charts Historical Chart Gamma Expiration Tool |
0 comentarios