Futures are off slightly to start the day, trading at 4150. We have a positive gamma for the SPX with an anticipated maximum move of 86bps. Today we mark the key trading levels as: 4124, 4150 and the 4175 area (Large gamma, Vol Trigger/ZeroGamma).
Heading into Friday we do not see any rally extending past 4200, with 4100 holding as the critical support line. While or gamma flip lines both highlight 4165 area as negative/positive gamma threshold, options positions are fairly well distributed from 4100-4200, which should provide some support and “stickiness” as we approach Fridays options expiration.
Model Overview:
Markets are back to positive gamma, and we anticipate lower volatility for this week, into the 5/21 monthly expiration.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4150 | 4173 | 416 | 13334 | 326 |
| SpotGamma Imp. 1 Day Move: | 0.86%, | 36.0 pts | Range: 4114.0 | 4186.0 | ||
| SpotGamma Imp. 5 Day Move: | 4150 | 3.06% | Range: 4023.0 | 4278.0 | ||
| SpotGamma Gamma Index™: | 0.36 | -0.52 | -0.02 | -0.03 | -0.12 |
| Volatility Trigger™(ES Px): | 4165 | 4110 | 416 | 13475 | 330 |
| SpotGamma Absolute Gamma Strike: | 4175 | 4000 | 420 | 12850 | 330 |
| Gamma Notional(MM): | $-200 | $148 | $-126 | $-6 | $-697 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level(ES Px): | 4171 | 4131 | 0 | 0 | 0 |
| Put Wall Support: | 4000 | 4000 | 405 | 13000 | 320 |
| Call Wall Strike: | 4200 | 4200 | 425 | 13750 | 340 |
| CP Gam Tilt: | 1.1 | 1.09 | 0.96 | 0.7 | 0.63 |
| Delta Neutral Px: | 4007 | ||||
| Net Delta(MM): | $1,417,725 | $1,479,930 | $204,585 | $39,248 | $85,096 |
| 25D Risk Reversal | -0.07 | -0.1 | -0.07 | -0.01 | -0.07 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4200, 4175, 4150, 4000] |
| SPY: [420, 415, 410, 400] |
| QQQ: [335, 330, 325, 320] |
| NDX:[13750, 13500, 13000, 12850] |
| SPX Combo: [4174.0, 4223.0, 4199.0, 4248.0, 4203.0] |
| NDX Combo: [13042.0, 13255.0, 12922.0, 13667.0, 13454.0] |
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