4165 is the current ES price, after very little movement overnight. The SG Implied range is only 60bps today, which is quite a small range given the large expiration on Friday. 4200 is major resistance. We do read the path of least resistance as lower, with initial support being 4150.
Post-OPEX there is now a very wide range in distribution of SPX gamma. As you can see in the chart below the gamma is shallow and evenly dispersed 4100-4200 with a large “void” from 4100-4000. Heading into the May OPEX cycle we see the largest gamma strike (major support) is down at 4000, and we cannot recall a time in which the largest gamma position was so far away (-4%) from prevailing market prices.
This wide distribution indicates little support until 4100, however dealers should not be “volatility inducing” unless markets break that 4100 level.
Finally, we note that both QQQ and IWM start at/in a negative gamma position, which implies higher relative volatility in those indices. There is a VIX expiration on Wednesday which could shake things up, too.
Model Overview:
4000-4200 range for the May OPEX cycle.
Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
---|---|---|---|---|---|---|---|
Ref Price: | 4169 | 4173 | 417 | 14032 | 342 | ||
VIX Ref: | 14 | 16.25 | |||||
SG Gamma Index™: | 1.08 | -0.06 | -0.01 | 0.01 | -0.02 | ||
Gamma Notional(MM): | $411 | $546 | $491 | $1 | $-99 | ||
SGI Imp. 1 Day Move: | 0.59%, | 25.0 pts | Range: 4144.0 | 4194.0 | ||||
SGI Imp. 5 Day Move: | 4169 | 1.72% | Range: 4098.0 | 4241.0 | ||||
Zero Gamma Level(ES Px): | 4096 | 4131 | — | 0 | |||
Vol Trigger™(ES Px): | 4095 | 4125 | 417 | 13725 | 339 | ||
SG Abs. Gamma Strike: | 4000 | 4125 | 415 | 12850 | 330 | ||
Put Wall Support: | 3900 | 4125 | 410 | 12500 | 290 | ||
Call Wall Strike: | 4200 | 4200 | 420 | 14025 | 350 | ||
CP Gam Tilt: | 1.53 | 1.55 | 1.18 | 1.22 | 0.89 | ||
Delta Neutral Px: | 3906 | ||||||
Net Delta(MM): | $1,226,536 | $1,348,874 | $176,465 | $35,173 | $68,910 | ||
25D Risk Reversal | -0.05 | 0.01 | -0.05 | 0.03 | -0.06 |
Top Absolute Gamma Strikes: SPX: [4200, 4150, 4100, 4000] SPY: [420, 417, 415, 410] QQQ: [350, 340, 335, 330] NDX:[14025, 14000, 13750, 12850] SPX Combo: [4179.0, 4229.0, 4204.0, 4133.0, 4279.0] NDX Combo: [14353.0, 14255.0, 13947.0] The Volatility Trigger has moved DOWN: 4095 from: 4125 The PutWall has moved to: 3900 from: 4125 SPX resistance is: 4200. Support is: 4000 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $411MM from: $545.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |