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Informe SG Levels

May 6, 2021 | 0 Comentarios

4160 is the curernt futures price – flat to last nights close. There was little change in key levels overnight, with our models looking for a 90bps max move with 4200 resistance, 4150 support. We think a break of 4150 brings a quick test of 4100.

Our sentiment remains the same: that markets are poised for volatility but needs a catalyst to get the ball rolling.  While we give odds that this volatility expresses in a downward move, we recognize the fact that it can also manifest in a quick move higher.

There is much more pent-up energy in QQQ, which remains under “put” pressure. We see only about 15% of that position rolling of Friday, and that does not give tech much of a “charm” bid (i.e. put options decay leads to dealer short cover). Of particular interest in QQQ is the 330 strike, which stands out as a very large level.

QQQ 330 Strike

Some are looking to tomorrows 8:30AM EST employment numbers as a catalyst. Tomorrows expiration is not particularly large for any of index/ETF’s and is unlikely to change the “gamma picture” much. It will likely be index/ETF price that first shifts to determine gamma’s influence. Higher prices resolve the volatility risk, lower prices invoke higher risk.

 

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 >4170 we anticipate a low volatility market which grinds higher.

SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ
Ref Price: 4162 4159 415 13508 329
SpotGamma Imp. 1 Day Move: 0.91%, 38.0 pts Range: 4124.0 | 4200.0
SpotGamma Imp. 5 Day Move: 4185 6.64% Range: 3907.0 | 4463.0
SpotGamma Gamma Index™: 0.43 0.41 -0.07 -0.01 -0.15
Volatility Trigger™(ES Px): 4175 4160 415 13550 335
SpotGamma Absolute Gamma Strike: 4200 4150 420 12850 330
Gamma Notional(MM): $4 $-7 $-362 $-1 $-889
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level(ES Px): 4152 4148 0 0 0
Put Wall Support: 4000 3900 410 12500 325
Call Wall Strike: 4200 4200 420 14025 340
CP Gam Tilt: 1.14 1.0 0.9 0.93 0.54
Delta Neutral Px: 3988
Net Delta(MM): $1,298,783 $1,345,402 $194,973 $40,068 $84,845
25D Risk Reversal -0.08 -0.08 -0.07 -0.08 -0.08
Top Absolute Gamma Strikes:
SPX: [4200, 4175, 4150, 4000]
SPY: [420, 418, 415, 400]
QQQ: [335, 330, 325, 320]
NDX:[14025, 14000, 13750, 12850]
SPX Combo: [4196.0, 4246.0, 4221.0, 4204.0, 4217.0]
NDX Combo: [13344.0, 13547.0, 13142.0, 13466.0, 13263.0]
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