Futures are flat to 4317, but well up from overnight lows of 4280. Little changed in the options landscape. Our volatility estimate remains in line with that of the last several days: 1.17% max open/close move. Resistance appears at 4350, then 4380. Support shows at 4310 and 4276.
Note that Powell speaks today at 10AM ET, which could spark volatility.
What has caught our eye over the last 24 hours has been the asset movement outside of equities. Shown below is the MOVE index, which is essentially the bond VIX. Along with that are major highs in commodities, particularly oil (CL futures seeing ~6 year highs of 112).
While we are not here to comment on the macro landscape, we do feel that volatility in other asset classes often spills over into equities. Non-equity volatility also appears to be increasing over the past week, while we’d opine the equity movement has been rather benign. The chart below shows that S&P futures are up nearly 5% since the official invasion of Ukraine. Equities are nearly unchanged since Feb OPEX (2/18).
We believe that the put heavy positioning has padded much of the equity volatility (i.e. equities are pretty well hedged). While there is a lot of “local” volatility in the form of intraday swings, equities on a day to day basis have been somewhat stable, churning in the 4300-4350 area.
If something were to push equity markets lower we think it would be “exogenous” or real money selling, for example something related to credit events.
Given this our “lower bound” still appears down just above 4000, which is ~5% lower from current prices. A visit to this lower bound could be fairly swift given the dynamics of negative gamma and elevated implied volatility.
To the upside we still see fairly thick resistance in the 4400-4500 band and suspect this holds into the key mid-March time frame (FOMC 3/16 & OPEX 3/18).
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4317 | 4306 | 429 | 14052 | 341 |
| SpotGamma Imp. 1 Day Move: | 1.17%, | Est 1 StdDev Open to Close Range (±pts): 51.0 | |||
| SpotGamma Imp. 5 Day Move: | 3.78% | 4285 (Monday Ref Px) | Range: 4123.0 | 4447.0 | ||
| SpotGamma Gamma Index™: | -1.01 | -0.60 | -0.32 | 0.01 | -0.13 |
| Volatility Trigger™: | 4380 | 4380 | 435 | 14060 | 350 |
| SpotGamma Absolute Gamma Strike: | 4300 | 4300 | 430 | 14075 | 350 |
| Gamma Notional(MM): | $-447 | $-568 | $-1,398 | $1 | $-756 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4410 | 4433 | 0 | 0 | 0 |
| Put Wall Support: | 4100 | 4100 | 420 | 13000 | 325 |
| Call Wall Strike: | 4600 | 4450 | 445 | 14075 | 400 |
| CP Gam Tilt: | 0.75 | 0.69 | 0.56 | 1.14 | 0.52 |
| Delta Neutral Px: | 4426 | ||||
| Net Delta(MM): | $1,647,616 | $1,671,003 | $188,689 | $36,115 | $104,417 |
| 25D Risk Reversal | -0.11 | -0.11 | -0.1 | -0.11 | -0.11 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4400, 4350, 4300, 4000] |
| SPY: [440, 430, 425, 420] |
| QQQ: [360, 350, 345, 340] |
| NDX:[14500, 14075, 14000, 13500] |
| SPX Combo (strike, %ile): [4207.0, 4310.0, 4258.0, 4267.0, 4215.0] |
| SPY Combo: [419.01, 429.32, 424.16, 425.02, 419.87] |
| NDX Combo: [14130.0, 14003.0, 13792.0] |
