Futures are a bit off of overnight highs of 4705, currently trading near 4682. Our volatility estimate remains in line with yesterday, with a max open/close move of 0.54%. Key resistance is at 4704, then 4728. Support lies at 4681 and 4650.
We continue to think the market remains pinned just under 4700 into Monday, as traders can sell short dated (i.e. “Pre-FOMC”) volatility with lower risk. There are expirations this Friday and Monday which are “all clear” from perceived risk. Even the volatility out past the FOMC is coming down sharply, with our 30 day Risk Reversal metric reading -0.07 (from lows of -.13).
Model Overview:
4600 gamma flip level, 4550 critical support. 4700 overhead target.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4684 | 4697 | 468 | 16332 | 399 |
| SpotGamma Imp. 1 Day Move: | 0.54%, | Est 1 StdDev Open to Close Range (±pts): 25.0 | |||
| SpotGamma Imp. 5 Day Move: | 4.1% | 4559 (Monday Ref Px) | Range: 4373.0 | 4747.0 | ||
| SpotGamma Gamma Index™: | 1.45 | 1.37 | 0.29 | 0.07 | 0.05 |
| Volatility Trigger™: | 4615 | 4615 | 461 | 15920 | 397 |
| SpotGamma Absolute Gamma Strike: | 4700 | 4700 | 470 | 16575 | 400 |
| Gamma Notional(MM): | $232 | $404 | $998 | $8 | $169 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4640 | 4650 | 0 | 0 | 0 |
| Put Wall Support: | 4400 | 4400 | 450 | 15000 | 390 |
| Call Wall Strike: | 4750 | 4750 | 470 | 16575 | 400 |
| CP Gam Tilt: | 1.36 | 1.21 | 1.33 | 1.75 | 1.13 |
| Delta Neutral Px: | 4455 | ||||
| Net Delta(MM): | $1,954,829 | $1,966,999 | $212,488 | $41,887 | $108,111 |
| 25D Risk Reversal | -0.07 | -0.08 | -0.08 | -0.08 | -0.08 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4700, 4675, 4650, 4600] |
| SPY: [470, 468, 465, 460] |
| QQQ: [405, 400, 398, 390] |
| NDX:[16575, 16500, 16400, 16000] |
| SPX Combo: [4728.0, 4779.0, 4681.0, 4704.0, 4756.0] |
| SPY Combo: [474.22, 479.38, 469.52, 471.87, 477.03] |
| NDX Combo: [15704.0, 15911.0] |
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