It’s been another volatile overnight session, with futures currently trading at 4240 from overnight lows of 4140. Little changes from yesterdays forecast – we look for elevated volatility to continue as long as the S&P is under the 4300 strike. Resistance lines appear at 4249 and 4300. Support lies at 4200 then 4076.
A lot of eyes are on this mornings 6:30AM ET ECB meeting, and their response to current events.
Like yesterday the key range is framed by the large interest at 4000 & 4300. In between that range we expect price action to remain fluid. If markets get above 4300 we look for volatility to reduce, and we see 4400 as the major resistance line into 3/16 (FOMC).
In regards to the “lower bound” concept we’ve discussed at length – that remains in play <=4100. This is ultimately due to that large open interest at 4000. As you can see in the gamma chart below, under 4100 the profile flattens out. This, along with our view that dealers are long tail risk, suggests dealer hedging requirements may be reduced <=4100. Through our lens this implies support.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4188 | 4154 | 415 | 13312 | 323 |
| SpotGamma Imp. 1 Day Move: | 1.6%, | Est 1 StdDev Open to Close Range (±pts): 67.0 | |||
| SpotGamma Imp. 5 Day Move: | 4.39% | 4267 (Monday Ref Px) | Range: 4080.0 | 4455.0 | ||
| SpotGamma Gamma Index™: | -1.89 | -1.66 | -0.43 | -0.02 | -0.19 |
| Volatility Trigger™: | 4530 | 4395 | 435 | 14025 | 356 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 420 | 14075 | 320 |
| Gamma Notional(MM): | $-883 | $-994 | $-1,960 | $-3 | $-1,109 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4377 | 4407 | 0 | 0 | 0 |
| Put Wall Support: | 4100 | 4100 | 400 | 13500 | 315 |
| Call Wall Strike: | 4400 | 4400 | 500 | 14075 | 400 |
| CP Gam Tilt: | 0.54 | 0.48 | 0.41 | 0.73 | 0.35 |
| Delta Neutral Px: | 4426 | ||||
| Net Delta(MM): | $1,779,449 | $1,721,038 | $195,445 | $39,798 | $116,930 |
| 25D Risk Reversal | -0.13 | -0.14 | -0.12 | -0.13 | -0.13 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4400, 4300, 4200, 4000] |
| SPY: [420, 415, 410, 400] |
| QQQ: [330, 325, 320, 315] |
| NDX:[14075, 14000, 13500, 13000] |
| SPX Combo (strike, %ile): [(4243.0, 8.23), (4076.0, 8.35)] |
| SPY Combo: [409.17, 419.16, 404.18, 414.17, 410.01] |
| NDX Combo: [12979.0, 13192.0, 13392.0, 13606.0, 13099.0] |
