Futures are flat to last nights close. Little changed in our models overnight – we look for another small trading range centered around the 4800 strike. Resistance lies at 4800 & 4821 (SPY 480 equivalent), support is at 4775.
Below we’ve plotted gamma by strike in percentile form, and you can see that 480 is in the 99th percentile (2021 data). As noted yesterday much of this gamma is removed at Fridays expiration, which implies that we see the S&P currently capped at prices <=480SPY.
While we think volatility remains subdued today, it may pick up Friday and into next week. Along with thinning holiday liquidity, there are some large trades rolling on 12/31. Additionally there is a substantial amount of gamma in the S&P which should remove the 480/4800 pin. This sets us up for an expansion in volatility (i.e. movement up or down) next week.
Model Overview:
4600 gamma flip level, 4550 critical support. 4700 overhead target.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4782 | 4785 | 477 | 16537 | 401 |
| SpotGamma Imp. 1 Day Move: | 0.48%, | Est 1 StdDev Open to Close Range (±pts): 23.0 | |||
| SpotGamma Imp. 5 Day Move: | 1.91% | 4728 (Monday Ref Px) | Range: 4638.0 | 4819.0 | ||
| SpotGamma Gamma Index™: | 1.58 | 2.21 | 0.28 | 0.03 | 0.00 |
| Volatility Trigger™: | 4645 | 4635 | 477 | 15725 | 401 |
| SpotGamma Absolute Gamma Strike: | 4800 | 4800 | 480 | 15925 | 400 |
| Gamma Notional(MM): | $467 | $718 | $1,175 | $4 | $19 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4711 | 4678 | 0 | 0 | 0 |
| Put Wall Support: | 4500 | 4400 | 476 | 13500 | 355 |
| Call Wall Strike: | 4800 | 4800 | 480 | 15925 | 405 |
| CP Gam Tilt: | 1.53 | 1.64 | 1.4 | 1.63 | 1.02 |
| Delta Neutral Px: | 4548 | ||||
| Net Delta(MM): | $1,464,915 | $1,439,210 | $178,659 | $36,867 | $89,150 |
| 25D Risk Reversal | -0.05 | -0.05 | -0.04 | -0.04 | -0.05 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4800, 4775, 4750, 4700] |
| SPY: [480, 477, 476, 475] |
| QQQ: [410, 400, 395, 390] |
| NDX:[17000, 16250, 16000, 15925] |
| SPX Combo (strike, %ile): [(4921.0, 74.8), (4912.0, 73.83), (4897.0, 94.19), (4873.0, 87.68), (4864.0, 83.72), (4854.0, 78.5), (4849.0, 87.16), (4845.0, 98.02), (4840.0, 74.79), (4835.0, 86.83), (4830.0, 86.42), (4826.0, 83.22), (4821.0, 95.81), (4816.0, 83.4), (4811.0, 96.86), (4806.0, 82.82), (4802.0, 91.12), (4797.0, 99.14), (4792.0, 85.38), (4787.0, 85.29), (4778.0, 78.66), (4773.0, 88.51), (4749.0, 76.15), (4744.0, 90.26), (4696.0, 83.82)] |
| SPY Combo: [478.3, 483.07, 479.73, 480.68, 488.31] |
| NDX Combo: [16652.0, 16866.0, 16701.0, 16619.0, 16784.0] |
