Futures are holding steady overnight, basing just under 4700. With the big shift higher in SPX prices we see a build in positive gamma, which shifts our volatility expectations much lower. With that we look for a tight 0.57% range on the day in the S&P (open to close). We look for resistance near 4715 (the SPY ~470 equivalent) with support at 4675.
You can see this volatility regime “state change” in the vanna model below. The tilt in the Dec 6 model shows high directional hedging requirements from dealers, which expands volatility. Todays model shows the mirror opposite, with a left skew that portrays dealers selling futures hedges above, and buying below. This suppresses volatility.
We do not expect a significant change in volatility or market prices into next week. 4700 currently holds the most amount of gamma, and we see 4750 filling in above as the Call Wall. We’d look for the implied volatility/VIX to hold relatively steady into next weeks main event(s): FOMC & OPEX.
Model Overview:
4600 gamma flip level, 4550 critical support. 4750 overhead target.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4694 | 4698 | 469 | 16345 | 397 |
| SpotGamma Imp. 1 Day Move: | 0.57%, | Est 1 StdDev Open to Close Range (±pts): 27.0 | |||
| SpotGamma Imp. 5 Day Move: | 4.1% | 4559 (Monday Ref Px) | Range: 4373.0 | 4747.0 | ||
| SpotGamma Gamma Index™: | 1.37 | 1.37 | 0.15 | 0.07 | 0.00 |
| Volatility Trigger™: | 4615 | 4615 | 464 | 15810 | 397 |
| SpotGamma Absolute Gamma Strike: | 4700 | 4700 | 470 | 16575 | 400 |
| Gamma Notional(MM): | $378 | $410 | $948 | $8 | $-11 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4650 | 4619 | 0 | 0 | 0 |
| Put Wall Support: | 4400 | 4400 | 450 | 15000 | 380 |
| Call Wall Strike: | 4750 | 4750 | 470 | 16575 | 400 |
| CP Gam Tilt: | 1.33 | 1.21 | 1.3 | 1.83 | 0.99 |
| Delta Neutral Px: | 4464 | ||||
| Net Delta(MM): | $1,965,638 | $1,967,313 | $225,588 | $50,029 | $108,948 |
| 25D Risk Reversal | -0.08 | -0.08 | -0.08 | -0.08 | -0.08 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4700, 4675, 4650, 4600] |
| SPY: [470, 468, 465, 460] |
| QQQ: [400, 398, 395, 390] |
| NDX:[16575, 16500, 16400, 16000] |
| SPX Combo: [] |
| SPY Combo: [474.37, 469.68, 479.52, 472.03, 470.62] |
| NDX Combo: [15704.0, 15911.0] |
