Another quiet session overnight, with futures off a few handles to 4175. 4200 remains the largest gamma strike on the board which for now functions as resistance. 4187 is standing out as a major level today as its both a large Combo Strike line, and the Volatility Trigger level (in SPX terms). Our forecast is for a rather benign 79bps move on the day. We’d note that both SPY & QQQ remain in negative gamma territory which implies higher relative volatility.
As mentioned in last nights note, should markets get above 4200, it should function as support and a base for a move to 4250. Until then markets are posted just above our high risk level, which if broken suggest a quick test of 4150.
With such little movement in markets, realized volatility has been low. This supports the idea that implied volatility should start to decline, which we believe pressures markets higher. Said another way, markets which are simply consolidating are soon likely to see “drift higher” engage.
Model Overview:
4100-4250 is the range into May OPEX. Gamma is currently high which should lead to low volatility. As long as markets are >4175 we anticipate a low volatility market which grinds higher.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4178 | 4182 | 418 | 13764 | 336 |
| SpotGamma Imp. 1 Day Move: | 0.79%, | 33.0 pts | Range: 4145.0 | 4211.0 | ||
| SpotGamma Imp. 5 Day Move: | 4185 | 6.64% | Range: 3907.0 | 4463.0 | ||
| SpotGamma Gamma Index™: | 0.84 | 0.64 | -0.04 | 0.01 | -0.10 |
| Volatility Trigger™(ES Px): | 4180 | 4175 | 418 | 13700 | 339 |
| SpotGamma Absolute Gamma Strike: | 4200 | 4200 | 420 | 14025 | 330 |
| Gamma Notional(MM): | $119 | $145 | $-155 | $2 | $-567 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level(ES Px): | 4137 | 4141 | 0 | 0 | 0 |
| Put Wall Support: | 4000 | 3900 | 405 | 13375 | 330 |
| Call Wall Strike: | 4200 | 4250 | 421 | 14025 | 350 |
| CP Gam Tilt: | 1.31 | 1.1 | 0.95 | 1.17 | 0.64 |
| Delta Neutral Px: | 3974 | ||||
| Net Delta(MM): | $1,332,388 | $1,327,144 | $192,505 | $39,726 | $76,730 |
| 25D Risk Reversal | -0.07 | -0.07 | -0.06 | -0.07 | -0.07 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4200, 4175, 4150, 4000] |
| SPY: [420, 418, 415, 400] |
| QQQ: [340, 338, 335, 330] |
| NDX:[14025, 14000, 13750, 12850] |
| SPX Combo: [4238.0, 4187.0, 4212.0, 4288.0, 4217.0] |
| NDX Combo: [13517.0, 13985.0, 13710.0, 13917.0] |
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