Futures are flat to last nights close. Our volatility estimate declined sharply today, with an estimated open/close range of just 0.63%. We see large resistance at 4694, with 4650 as the “pivot”. Support lands at 4642 and 4624.
As mentioned in last nights note, we see volatility reducing due to gamma flipping back to a positive figure. If the S&P can push into the 4675-4700 area it invokes a more material amount of positive gamma which should help pin the large 4700 strike into next week.
There may be an interesting opportunity for options traders here as our gamma forecast suggests a fairly tight trading range, while the VIX is at 20 which suggests traders anticipate a 1.25% 1 day move. Shorter dated at-the-money implied volatility in SPX is showing 13.5% (~0.85% 1-day move) which still indicates above our gamma implied move.
We also show a fair amount of put interest remaining at the 460SPY/4600SPX, while call gamma is slowly building >=4700. We look for those puts to decay & roll to higher strikes, and for call gamma to continue building in the 4700-4750 area. This is supportive of mildly higher S&P prices into year end.
In summary: If the S&P can drift up into 4700 this week, gamma should pin us there and if the options structure shifts to higher strikes next week that supports higher S&P prices into 12/31. We think S&P movement is about “drift” now, and not large swings.
While we forecast tighter ranges for the S&P, the QQQ’s maintain their negative gamma position and should have relatively higher volatility. We also see the potential for material moves in many large single stocks as the put flow from last week unwinds. Several of these are the “majors” like AAPL, AMZN & TSLA.
Model Overview:
4600 gamma flip level & critical support. 4700 overhead target.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4640 | 4639 | 463 | 15954 | 389 |
| SpotGamma Imp. 1 Day Move: | 0.63%, | Est 1 StdDev Open to Close Range (±pts): 29.0 | |||
| SpotGamma Imp. 5 Day Move: | 1.9% | 4557 (Monday Ref Px) | Range: 4471.0 | 4644.0 | ||
| SpotGamma Gamma Index™: | 0.69 | 0.00 | 0.02 | 0.03 | -0.02 |
| Volatility Trigger™: | 4605 | 4400 | 461 | 15725 | 386 |
| SpotGamma Absolute Gamma Strike: | 4700 | 4000 | 460 | 15925 | 390 |
| Gamma Notional(MM): | $46 | $3 | $123 | $4 | $-136 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4640 | 4605 | 0 | 0 | 0 |
| Put Wall Support: | 4400 | 4400 | 455 | 15000 | 355 |
| Call Wall Strike: | 4800 | 4800 | 470 | 15925 | 400 |
| CP Gam Tilt: | 1.2 | 1.02 | 1.04 | 1.51 | 0.89 |
| Delta Neutral Px: | 4547 | ||||
| Net Delta(MM): | $1,359,216 | $487,915 | $159,184 | $34,396 | $88,540 |
| 25D Risk Reversal | -0.08 | -0.08 | -0.07 | -0.08 | -0.07 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4700, 4650, 4600, 4500] |
| SPY: [470, 465, 460, 455] |
| QQQ: [400, 390, 385, 380] |
| NDX:[16250, 16000, 15925, 15850] |
| SPX Combo: [(4772.0, 76.44), (4768.0, 86.7), (4763.0, 77.77), (4754.0, 74.88), (4745.0, 94.82), (4735.0, 80.99), (4717.0, 85.79), (4712.0, 87.84), (4703.0, 78.8), (4694.0, 95.03), (4684.0, 81.52), (4680.0, 82.91), (4675.0, 79.13), (4670.0, 86.12), (4666.0, 79.62), (4642.0, 90.0), (4624.0, 92.5), (4615.0, 89.4), (4564.0, 6.71), (4545.0, 3.28), (4513.0, 6.87)] |
| SPY Combo: [468.15, 473.25, 461.21, 463.06, 460.28] |
| NDX Combo: [15704.0, 15911.0] |
