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.
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.
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|
|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|
|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|
|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]|
Gamma Expiration Tool