Futures have recovered some of yesterdays losses, currently trading near 4660. We see very little shift in levels from yesterday: our max move on the day remains at 0.72%, support is at 4645 (Vol Trigger), resistance at 4664 and 4700. The max estimated move have done well at framing the market several days for the past few days – suggesting that macro events have not superseded gamma forces.
Despite being off of recent highs >4700 the market holds a fair amount of gamma, and should remain well supported. We note above the 4664 level we do not see another resistance bar until 4700, which implies there is some room to rally. Note, too, that 4700 remains the strike which holds the most total gamma (large magnet).
Additionally, while our gamma flip levels are down around 4630, we are marking 4600 as critical support. This is due to the large open interest we’ve highlighted below. The SG models do not show anything which suggests heavy selling in todays session.
Those looking for a bit more volatility may want to watch the Nasdaq/QQQ’s. While the S&P is blanketed in volatility-suppressing gamma, the tech index is somewhat put-heavy which indicates the vanna trade is in play.
You can see this as shown in the figure below. The QQQ vanna model shows a right tilt which indicates dealers trading with the market, while the SPX holds a left tilt implying dealers trading into the market. Recall the elevated VXN (Nasdaq VIX) and convex tech names like TSLA, NVDA and AMD which also add to the volatility (movement up and down).
Model Overview:
As long as the S&P500 holds 4600 we expect positive gamma flows and lower implied volatility to boost markets.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4657 | 4649 | 463 | 16024 | 389 |
| SpotGamma Imp. 1 Day Move: | 0.72%, | 34.0 pts | Range: 4623.0 | 4691.0 | ||
| SpotGamma Imp. 5 Day Move: | 2.05% | 4694 (Monday Ref Px) | Range: 4598.0 | 4791.0 | ||
| SpotGamma Gamma Index™: | 1.00 | 1.51 | 0.00 | 0.03 | -0.05 |
| Volatility Trigger™: | 4645 | 4645 | 464 | 15720 | 391 |
| SpotGamma Absolute Gamma Strike: | 4700 | 4700 | 470 | 16000 | 380 |
| Gamma Notional(MM): | $350 | $18 | $37 | $4 | $-224 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4618 | 4628 | 0 | 0 | 0 |
| Put Wall Support: | 4000 | 4000 | 462 | 15600 | 388 |
| Call Wall Strike: | 4700 | 4700 | 470 | 15125 | 400 |
| CP Gam Tilt: | 1.23 | 1.43 | 1.01 | 1.33 | 0.86 |
| Delta Neutral Px: | 4429 | ||||
| Net Delta(MM): | $1,910,928 | $1,878,891 | $227,337 | $54,325 | $109,425 |
| 25D Risk Reversal | -0.08 | -0.08 | -0.07 | -0.06 | -0.06 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4700, 4650, 4600, 4500] |
| SPY: [470, 468, 465, 460] |
| QQQ: [400, 390, 385, 380] |
| NDX:[16000, 15600, 15500, 15125] |
| SPX Combo: [4711.0, 4762.0, 4664.0, 4739.0, 4725.0] |
| SPY Combo: [468.72, 473.82, 464.08, 471.5, 470.11] |
| NDX Combo: [16522.0, 15701.0, 16023.0, 15814.0, 16313.0] |
