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Informe SG Levels

Nov 3, 2021

Futures are flat to 4620 head of todays 2pm ET FOMC. While the estimated SG Max Move of 0.67% is similar to yesterday, there were shifts in key levels. First, the Call Wall shifted to 4700 from 4650 due to a build in calls at the 4700 strike. Second we saw our Vol Trigger level shift 50 handles higher to 4495. With that we see todays key levels as: 4600, 4636 and 4685.

The shifts in key levels was not anticipated, and suggests the market is rolling positions higher (both puts and calls). We generally view the shift up in these levels as bullish.

As we’ve noted extensively the last several days, we give edge to a break lower in implied volatility after todays FOMC. This generally provides a tailwind to equities, and we would therefore look for a test of the 4700 Call Wall into next week.

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: 4620 4620 461 15956 389
SpotGamma Imp. 1 Day Move: 0.67%, 31.0 pts Range: 4589.0 | 4651.0
SpotGamma Imp. 5 Day Move: 1.89% 4602 (Monday Ref Px) Range: 4515.0 | 4689.0
SpotGamma Gamma Indexâ„¢: 1.86 2.04 0.11 0.05 0.02
Volatility Triggerâ„¢: 4495 4445 459 15025 384
SpotGamma Absolute Gamma Strike: 4500 4500 460 15500 380
Gamma Notional(MM): $619 $707 $401 $6 $60
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4547 4512 0 0 0
Put Wall Support: 4000 4300 450 14200 380
Call Wall Strike: 4700 4650 465 15125 390
CP Gam Tilt: 1.58 1.48 1.12 1.55 1.05
Delta Neutral Px: 4394
Net Delta(MM): $1,737,407 $1,717,346 $205,840 $55,780 $98,141
25D Risk Reversal -0.07 -0.07 -0.06 -0.05 -0.05
Key Support & Resistance Strikes:
SPX: [4700, 4600, 4550, 4500]
SPY: [465, 463, 462, 460]
QQQ: [390, 388, 385, 380]
NDX:[16000, 15500, 15125, 14200]
SPX Combo: [4687.0, 4636.0, 4613.0, 4585.0, 4488.0]
SPY Combo: [468.8, 463.72, 461.41, 458.64, 448.94]
NDX Combo: [15986.0, 16401.0, 16194.0, 16066.0, 15859.0]
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