Futures are flat to yesterdays close, currently 4562. Little change in our data overnight, with 4599 main resistance, and support at 4548. We anticipate another fairly tight trading range, with an SG Implied max move of 0.64%.
All of our models continue to forecast heavy resistance up into and over 4600. The next several expirations hold little size, and so we see this low volatility rangebound stance to hold into Friday. The QQQ offers a bit more excitement, with a flat gamma posture and a vanna model that shows a “volatility tilt”.
Below are the vanna models for Q’s (left) and S&P (right) and you can see they are a mirror image. The QQQ has a tilt to the right which implies dealers have some buying if the Nasdaq moves higher, and selling if it declines. The S&P on the other hand shows heavier dealer selling if the S&P moves higher.
We anticipate that more focus remains on single stocks, due to the spate of earnings last night and today. 10/29 OPEX should bring a moderate expiration which may free up some movement in the markets.
Model Overview:
As long as the S&P500 holds 4500 we expect positive gamma flows and lower implied volatility to boost markets.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4571 | 4566 | 455 | 15564 | 379 |
| SpotGamma Imp. 1 Day Move: | 0.64%, | 29.0 pts | Range: 4542.0 | 4600.0 | ||
| SpotGamma Imp. 5 Day Move: | 1.72% | 4540 (Monday Ref Px) | Range: 4463.0 | 4619.0 | ||
| SpotGamma Gamma Index™: | 1.90 | 1.83 | 0.05 | 0.04 | -0.02 |
| Volatility Trigger™: | 4440 | 4440 | 456 | 15025 | 379 |
| SpotGamma Absolute Gamma Strike: | 4500 | 4500 | 455 | 15500 | 380 |
| Gamma Notional(MM): | $549 | $664 | $210 | $4 | $-59 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4498 | 4494 | 0 | 0 | 0 |
| Put Wall Support: | 4300 | 4300 | 450 | 14000 | 350 |
| Call Wall Strike: | 4600 | 4600 | 460 | 15125 | 383 |
| CP Gam Tilt: | 1.52 | 1.44 | 1.05 | 1.36 | 0.97 |
| Delta Neutral Px: | 4347 | ||||
| Net Delta(MM): | $1,667,459 | $1,488,819 | $207,003 | $50,209 | $95,683 |
| 25D Risk Reversal | -0.07 | -0.07 | -0.06 | -0.05 | -0.05 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4600, 4550, 4500, 4450] |
| SPY: [457, 455, 453, 450] |
| QQQ: [380, 378, 375, 370] |
| NDX:[16000, 15500, 15125, 14000] |
| SPX Combo: [4599.0, 4498.0, 4644.0, 4695.0, 4548.0] |
| SPY Combo: [458.7, 448.66, 463.26, 468.27, 453.68] |
| NDX Combo: [15728.0, 15136.0, 15821.0, 15152.0, 15199.0] |
