Futures are indicating the SPX will open near 4710, which places the S&P in fairly high gamma position. With that we are looking for a low volatility session, with a open/close range of just 0.56%. Resistance is at 4720 (SPY 470 equivalent) and support is at 4700, then 4675.
You can see how prominent that 470SPY level is, and note a fair amount of that position expires today. This supports pinning in the 4700 SPX to 4720 (SPY 470 equivalent) area.
Looking forward we note that the volatility structure has deflated this week, and we expect that to continue – but at a slower pace. As implied volatility (i.e. VIX) deflates, the vanna trade shifts from a market “tailwind” to a “gentle breeze”. Couple that with the higher gamma stored at strikes >=4700 and we think it will be a slow grind into next week.
QQQ & IWM still hold a mildly negative gamma position – indicating there are still more puts to burn. With that we anticipate a bit more volatility in those indicies.
Model Overview:
4600 gamma flip level, 4550 critical support. 4700 overhead target.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4700 | 4699 | 468 | 16203 | 393 |
| SpotGamma Imp. 1 Day Move: | 0.56%, | Est 1 StdDev Open to Close Range (±pts): 26.0 | |||
| SpotGamma Imp. 5 Day Move: | 1.9% | 4557 (Monday Ref Px) | Range: 4471.0 | 4644.0 | ||
| SpotGamma Gamma Index™: | 1.23 | 1.22 | 0.19 | 0.04 | -0.00 |
| Volatility Trigger™: | 4645 | 4645 | 464 | 15725 | 391 |
| SpotGamma Absolute Gamma Strike: | 4700 | 4700 | 470 | 15925 | 400 |
| Gamma Notional(MM): | $362 | $352 | $984 | $5 | $-28 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4665 | 4664 | 0 | 0 | 0 |
| Put Wall Support: | 4400 | 4400 | 455 | 15000 | 380 |
| Call Wall Strike: | 4750 | 4750 | 470 | 15925 | 400 |
| CP Gam Tilt: | 1.41 | 1.25 | 1.38 | 1.69 | 0.98 |
| Delta Neutral Px: | 4538 | ||||
| Net Delta(MM): | $1,353,232 | $1,352,872 | $163,940 | $35,671 | $88,502 |
| 25D Risk Reversal | -0.06 | -0.06 | -0.07 | -0.06 | -0.07 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4700, 4675, 4650, 4600] |
| SPY: [470, 468, 465, 460] |
| QQQ: [400, 395, 390, 380] |
| NDX:[16250, 16000, 15925, 15850] |
| SPX Combo (strike, %ile): [4749.0, 4702.0, 4801.0, 4721.0, 4726.0] |
| SPY Combo: [472.83, 468.16, 477.98, 470.03, 470.5] |
| NDX Combo: [16440.0, 15938.0, 16246.0, 16278.0, 16651.0] |
