Futures have pushed to fresh all time highs past 4620. With this boost higher there is an incremental build in gamma, pressing our SG 1 day max move to 0.66%. We mark resistance at 4622 and 4650. Support lies at 4600.
460SPY is a very large gamma strike, and our expectation is the market holds this general area (4600SPX to 460SPY/4620SPX) in through the 11/3 FOMC. As noted above, there was a substantial build in gamma which implies smaller trading ranges.
Below we’ve posted our vanna model from Friday (left) vs today (right) wherein you can see the change in resistance which leads to tighter ranges. The sharper skew to todays model suggests larger resistance as the S&P rises higher due to dealers needing to increasingly short futures (as a hedge). Of course as the market declines dealers buy-back short futures, too. The increasing firepower (ie higher gamma) for “sell higher, buy lower” flow is what locks in the range.
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: | 4602 | 4601 | 458 | 15861 | 386 |
| SpotGamma Imp. 1 Day Move: | 0.66%, | 30.0 pts | Range: 4572.0 | 4632.0 | ||
| SpotGamma Imp. 5 Day Move: | 1.89% | 4602 (Monday Ref Px) | Range: 4515.0 | 4689.0 | ||
| SpotGamma Gamma Index™: | 1.99 | 1.26 | 0.05 | 0.04 | 0.01 |
| Volatility Trigger™: | 4445 | 4440 | 457 | 15025 | 384 |
| SpotGamma Absolute Gamma Strike: | 4500 | 4500 | 460 | 15500 | 380 |
| Gamma Notional(MM): | $607 | $755 | $174 | $6 | $66 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4529 | 4528 | 0 | 0 | 0 |
| Put Wall Support: | 4000 | 4300 | 450 | 14000 | 370 |
| Call Wall Strike: | 4650 | 4650 | 460 | 15125 | 390 |
| CP Gam Tilt: | 1.64 | 1.46 | 1.05 | 1.54 | 1.05 |
| Delta Neutral Px: | 4344 | ||||
| Net Delta(MM): | $1,691,964 | $1,576,902 | $202,850 | $54,056 | $95,761 |
| 25D Risk Reversal | -0.07 | -0.07 | -0.06 | -0.05 | -0.05 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4600, 4550, 4500, 4450] |
| SPY: [460, 458, 455, 450] |
| QQQ: [390, 385, 380, 375] |
| NDX:[16000, 15500, 15125, 14000] |
| SPX Combo: [4650.0, 4599.0, 4701.0, 4498.0, 4622.0] |
| SPY Combo: [463.84, 458.79, 468.89, 448.69, 461.09] |
| NDX Combo: [16029.0, 15871.0, 15823.0, 15902.0, 15950.0] |
