Futures led a quiet overnight session, currently holding 4600. We look for resistance at 460SPY(SPX 4315) and support at 4600. We see little reason to deviate from the idea that markets hold a very quiet, tight range today. Our anticipation is that vanna-flows (ie hedges from implied volatility[IV] changes) kick us out of this 4600-4615 box after tomorrows FOMC update.
We give edge to IV dropping after 2:30pm tomorrow, which provides a tailwind for markets. Should that be the case, we eye 4700 as the target into 11/19 OPEX as there is a decent amount of open interest at that strike. A shift higher in the Call Wall (currently 4650) to 4700 would confirm that.
On the downside we see an air pocket of sorts below 4585, but mark large support at 4500.
Note below how the VIX recently rejected off of YTD lows, giving some room to decline post-Fed. Realized volatility is consolidating (based on the tight ranges of the last several days) which further pressures IV. This suggests that a well-received Fed would unlock put decay(IV down), leading to higher SPX prices.
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: | 4603 | 4599 | 460 | 15884 | 387 |
| SpotGamma Imp. 1 Day Move: | 0.66%, | 30.0 pts | Range: 4573.0 | 4633.0 | ||
| SpotGamma Imp. 5 Day Move: | 1.89% | 4602 (Monday Ref Px) | Range: 4515.0 | 4689.0 | ||
| SpotGamma Gamma Index™: | 2.03 | 0.05 | 0.07 | 0.05 | 0.03 |
| Volatility Trigger™: | 4445 | 4400 | 457 | 15025 | 383 |
| SpotGamma Absolute Gamma Strike: | 4500 | 4000 | 460 | 15500 | 380 |
| Gamma Notional(MM): | $564 | $11 | $311 | $6 | $149 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4530 | 4526 | 0 | 0 | 0 |
| Put Wall Support: | 4300 | 4300 | 450 | 14000 | 370 |
| Call Wall Strike: | 4650 | 4650 | 460 | 15125 | 390 |
| CP Gam Tilt: | 1.66 | 1.05 | 1.1 | 1.56 | 1.12 |
| Delta Neutral Px: | 4378 | ||||
| Net Delta(MM): | $1,711,120 | $1,638,901 | $201,087 | $55,210 | $95,434 |
| 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: [4638.0, 4688.0, 4587.0, 4486.0, 4610.0] |
| SPY Combo: [463.72, 468.78, 458.66, 448.54, 460.96] |
| NDX Combo: [15952.0, 16158.0, 15793.0, 15746.0, 15841.0] |
