Futures are marginally higher to 4660. Post-FOMC we saw a build in gamma, bringing our 1 Day Max move to just 0.50%. This is the lowest figure we’ve seen in quite some time, and we attribute this to the SPX price move higher and a large build up at the 4700 strike. Our key support and resistance strikes today are 4650, 4672 and 4696.

As we discussed several times this past week, we viewed the market as having a bullish tilt after the Fed. This was primarily due to the high positive gamma environment, and the “release” of implied volatility [IV] that generally takes place after FOMC events. After yesterdays Fed meeting, the VIX broke down to 15, and we are now at post Covid-crash lows. Further we note that the term structure of IV (this is how high the IV is for longer dated options) remains elevated. That suggests near term options could have more “bleed” which could keep the SPX market price tailwind intact.

As a result the 4700 Call Wall strike remains our overhead target into 11/19 expiration. We view the current market as having relative low risk due to the high level of gamma. It would likely take several days of grinding lower which would wear off enough gamma-based support to open up a higher risk (aka volatility spike) selloff.

Model Overview:

As long as the S&P500 holds 4500 we expect positive gamma flows and lower implied volatility to boost markets.