Futures are little changed, currently 4675. We look for another tight trading range, with resistance at 4695 into 4719. There are a cluster of high gamma resistance strikes from 4695 to the 4719 (SPY 470 equivalent). Support lies at 4675 and 4650.

The most significant data change was a jump in the Vol Trigger & Put Wall to 4640.  Our models are picking up the addition of 36k puts between the 4635 and 4640 strikes. These appear to be short dated spreads which will expire on 11/17, and so we don’t see this as a material change in hedges.  Therefore this “gap” (which signals a lack of hedging) that we mentioned last week is still in play, and we anticipate a resolution to this gap soon (Walls shift up and/or market shifts lower).

Tomorrow AM is VIX expiration which may be the first shakeup to the current high gamma environment. While the VIX (ref 16.75) is currently above YTD lows of ~15, the implied volatility(IV) of short dated SPX options remains quite low.  Fridays at-the-money SPX options have an IV of ~10% which translates to an expected daily move of 0.62%. Interestingly this is right in line with SG’s gamma based max move of 0.68%. Opportunity max exist into next week wherein our models suggest an increase in volatility, but the market does not.

YouTube Live, Today 1PM ET: Please join Brent & Imran Lakha from Options-Insight as we discuss the current options volatility landscape into November expiration.

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Model Overview:

Positive gamma means the market should be supported as long as SPX>4600.