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Informe SG Levels

May 7, 2021 | 0 Comentarios

Futures have pushed through to 4203 just ahead of this mornings 8:30AM EST jobs report. Our Call Wall resistance point did not move higher, and stands at 4200. The SPY Call Wall is 421, and so we draw a large Combo resistance point at 4215.  Support shows at 4175, with a max SpotGamma implied move of 68bps. Note that we now have some “positive gamma cushion” in the SPX which reduces some of the volatility risk we’ve been highlighting.  If markets push toward 4250 positive gamma picks up substantially, which further reduces volatility risk.

Todays expiration did pick up a bit in size over the last few days. We show just under 20% of S&P/QQQ gamma expiring at the close (we generally mark anything >20% as “material”).

Its interesting to compare the vanna models (FAQ) in the SPX from yesterday to today. You can see that it was a fairly neutral stance yesterday, but now it has shifted toward a “sell skew” to the upside. This is because markets have pushed into a zone with higher call interest and dealers that are long calls have futures to short.

SPX Vanna May 7th

The QQQ/tech complex still holds a lot of puts & negative gamma, which should invoke high volatility today. We mark 330 as support, and remind NQ/QQQ traders to respect the “vanna”, as implied volatility has such a large impact on puts. If markets do decide to rally today, you may get more upside in QQQ/IWM vs S&P because of that negative gamma position.

This is highlighted in the vanna model for QQQ, shown below. You can see the skew is the opposite of that of the SPX, wherein dealers may have to buy back futures if QQQ rallies. Additionally we show a fairly impactful expiration (blue vs red line) which suggest that tonight’s expiration creates some additional dealer buying flows into Monday (side note: QQQ will be added to the vanna page in the next few days).

QQQ Vanna May 7

Model Overview:

4100-4215 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: 4197 4194 419 13629 331
SpotGamma Imp. 1 Day Move: .68%, 28.8 pts Range: 4169| 4225
SpotGamma Imp. 5 Day Move: 4185 6.64% Range: 3907.0 | 4463.0
SpotGamma Gamma Index™: 1.37 0.43 0.09 -0.00 -0.13
Volatility Trigger™(ES Px): 4175 4175 416 13550 331
SpotGamma Absolute Gamma Strike: 4200 4200 420 12850 330
Gamma Notional(MM): $324 $311 $118 $0 $-757
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level(ES Px): 4156 4153 0 0 0
Put Wall Support: 4170 4000 410 12500 325
Call Wall Strike: 4200 4200 421 14025 340
CP Gam Tilt: 1.46 1.21 1.03 1.01 0.62
Delta Neutral Px: 3992
Net Delta(MM): $1,400,958 $1,308,846 $202,897 $40,341 $84,011
25D Risk Reversal -0.07 -0.08 -0.06 -0.08 -0.07
Top Absolute Gamma Strikes:
SPX: [4200, 4175, 4150, 4000]
SPY: [420, 418, 417, 415]
QQQ: [335, 330, 325, 320]
NDX:[14025, 14000, 13750, 12850]
SPX Combo: [4197.0, 4248.0, 4222.0, 4206.0, 4227.0]
NDX Combo: [13344.0, 13548.0, 13467.0, 13753.0, 13971.0]
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