Futures are slightly off from last nights close to 4137. They did test lower overnight, with a low of 4110. It seems as there is some mean reversion to this market, with any push under ~4125 being brought back toward the 4150 strike. If 4100 does fail, then we maintain that this mean reversion breaks, which could lead to a quick test of 4000. To the upside we hold 4150 and 4177 as resistance. Our Implied move today is just 0.8%.
Yesterday we mentioned this “vanna skew” in QQQ, which pointed to continued high volatility in the tech ETF. Today we note that skew has appeared in the S&P, too. This fits in with the 4000-4100 “void” from yesterdays note. This suggests that volatility may be poised to increase in the S&P.
The closer we push to 5/21 expiration, the more put decay will start to factor in on these large put positions. If bears really want to spark a selloff, they need to strike quickly before the forces of options decay (charm) strike which could put a bid in markets.
Model Overview:
4100-4250 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: | 4151 | 4181 | 417 | 13197 | 325 |
| SpotGamma Imp. 1 Day Move: | 0.82%, | 34.0 pts | Range: 4117.0 | 4185.0 | ||
| SpotGamma Imp. 5 Day Move: | 4231 | 7.21% | Range: 3926.0 | 4536.0 | ||
| SpotGamma Gamma Index™: | 0.73 | 1.37 | -0.06 | -0.02 | -0.15 |
| Volatility Trigger™(ES Px): | 4170 | 4185 | 418 | 13475 | 331 |
| SpotGamma Absolute Gamma Strike: | 4200 | 4200 | 420 | 12850 | 330 |
| Gamma Notional(MM): | $-172 | $-50 | $-259 | $-5 | $-892 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level(ES Px): | 4141 | 4170 | 0 | 0 | 0 |
| Put Wall Support: | 4000 | 4175 | 410 | 12500 | 320 |
| Call Wall Strike: | 4200 | 4250 | 421 | 13750 | 340 |
| CP Gam Tilt: | 1.25 | 0.97 | 0.93 | 0.66 | 0.53 |
| Delta Neutral Px: | 4069 | ||||
| Net Delta(MM): | $1,126,804 | $1,422,719 | $200,318 | $35,625 | $87,053 |
| 25D Risk Reversal | -0.1 | -0.06 | -0.07 | -0.09 | -0.08 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4200, 4175, 4150, 4000] |
| SPY: [422, 421, 420, 400] |
| QQQ: [335, 330, 325, 320] |
| NDX:[14000, 13750, 13500, 12850] |
| SPX Combo: [4152.0, 4201.0, 4177.0, 4226.0, 4251.0] |
| NDX Combo: [13168.0, 12957.0, 13366.0, 13537.0, 13088.0] |
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