Futures have pushed higher to 4545. Our models still show a fair amount of volatility potential today, with a 1 day implied move of 1.26%. Resistance is at 4600. Support lies at 4534 and 4475.
The S&P500 spent the back half of yesterdays session pinned to that large SPY450 line (SPX4520). We now see this area as key support, as its above that strike wherein positive gamma should creep in, invoking supportive dealer flows (as per Mondays note).
The Put Wall metric has shifted 100 handles higher, which has been correlated to rallies in the market.
460SPY/4600SPX is the target area above, and based on indicative ES prices (~4545) and our volatility forecast (1.2% 1 stdev move) that 4600 area appears achievable for today.
We also highlight $360 in QQQ as an important level as it appears to be above that strike wherein small call positions pick up.
Our general feeling here is that the market has found balance at 4500, and needed a push to invoke the next options-based feedback loop. It is above that 4520 (large SPY OI + SPX Vol Trigger) that we view the upside loop as having more edge. If the S&P can push up into 4600 that should further drag realized volatility lower, which in turn can drag down implied volatility. Lower implied volatility suggests the vanna trade persists as a supportive tailwind.
This feels like it is becoming a pain trade for put holders, too. As days pass without a material downside move those puts lose value which builds supportive flows for markets.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4545 | 4518 | 451 | 14870 | 359 |
| SpotGamma Imp. 1 Day Move: | 1.26%, | Est 1 StdDev Open to Close Range (±pts): 57.0 | |||
| SpotGamma Imp. 5 Day Move: | 4.23% | 4489 (Monday Ref Px) | Range: 4300.0 | 4679.0 | ||
| SpotGamma Gamma Index™: | -0.22 | -0.72 | -0.15 | 0.02 | -0.13 |
| Volatility Trigger™: | 4520 | 4530 | 450 | 14740 | 360 |
| SpotGamma Absolute Gamma Strike: | 4500 | 4500 | 450 | 14800 | 350 |
| Gamma Notional(MM): | $-59 | $-210 | $-596 | $3 | $-688 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4542 | 4549 | 0 | 0 | 0 |
| Put Wall Support: | 4400 | 4300 | 445 | 14275 | 350 |
| Call Wall Strike: | 4700 | 4700 | 460 | 14800 | 375 |
| CP Gam Tilt: | 0.95 | 0.89 | 0.81 | 1.33 | 0.58 |
| Delta Neutral Px: | 4488 | ||||
| Net Delta(MM): | $1,552,023 | $1,580,251 | $161,142 | $36,547 | $87,762 |
| 25D Risk Reversal | -0.08 | -0.08 | -0.06 | -0.07 | -0.06 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4700, 4600, 4550, 4500] |
| SPY: [460, 450, 448, 445] |
| QQQ: [365, 360, 355, 350] |
| NDX:[15300, 15000, 14800, 14500] |
| SPX Combo (strike, %ile): [4425.0, 4625.0, 4675.0, 4475.0, 4534.0] |
| SPY Combo: [438.76, 458.61, 463.57, 443.72, 449.59] |
| NDX Combo: [14503.0, 14934.0, 14711.0, 14904.0] |
