Futures had a quiet overnight session, currently near highs of 4540. Our volatility forecast anticipates another tight trading range today (0.69% open/close). Support shows at 4510 & 4500. Resistance shows at 4552 and 4575.
Most notably we saw the SPY Call Wall shift up to 455 (from 450) which we read as moderately bullish. The SPX Call Wall holds at 4600, and so we look at this 4575 area as the top of our range. This top holds as long as the Call Wall figures remain at current levels.
450 SPY is a substantial support level. Our models do suggest a quiet session today, but the air pocket remains under 4500. A break of that level may open a quick test down 4400.
While the SPX holds a neutral stance, we still see some vanna-based support for markets. Below is our model for the SPY & QQQ, and you can see there is a right tilt to these models. This suggests that the decay of put options leads to support. Note this type of model skew is driven from the supply of put options as both SPY/QQQ hold small negative gamma positions.
The options market seems to agree with our low volatility assessment for today – we currently see today’s at-the-money SPX straddle (ref: 4540) trading at $29 (0.65%). At these prices short dated volatility sellers are leaving very little room for error. This likely does not matter for today, but it implies that jump risk remains elevated as a fairly benign market move may force short dated options sellers to scramble for cover.
To this point, we continue to keep an eye on credit market volatility. Shown below is the MOVE Index (aka “Bond VIX”) which is suddenly moving back towards March highs. Treasury yield curves are also making headlines. We offer no fundamental view on these moves, but flag them as cross asset volatility may push into equities.
Finally, we have received a lot of questions around the 3/31 quarterly expiration which brings the removal of the JPM 4510 strike. The value of this strike has decreased significantly over the past week. As a result we do not see any material impact from this position.
However, this would change if the markets started to sell off, as we believe dealers would need to start shorting to hedge the 45k puts at 4510 – which is why we look for an air pocket <4500.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4543 | 4543 | 452 | 14754 | 359 |
| SpotGamma Imp. 1 Day Move: Est 1 StdDev Open to Close Range |
0.69%, | (±pts): 31.0 | VIX 1 Day Impl. Move:1.31% | ||
| SpotGamma Imp. 5 Day Move: | 2.26% | 4543 (Monday Ref Px) | Range: 4440.0 | 4646.0 | ||
| SpotGamma Gamma Index™: | 0.53 | 0.63 | -0.05 | 0.03 | -0.05 |
| Volatility Trigger™: | 4400 | 4430 | 449 | 14050 | 355 |
| SpotGamma Absolute Gamma Strike: | 4500 | 4500 | 450 | 14225 | 350 |
| Gamma Notional(MM): | 94.0 | 196.0 | -201.0 | 4.0 | -264.0 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4506 | 4506 | 0 | 0 | 0 |
| Put Wall Support: | 4510 | 4300 | 440 | 13500 | 350 |
| Call Wall Strike: | 4600 | 4600 | 455 | 14225 | 360 |
| CP Gam Tilt: | 1.2 | 1.15 | 0.92 | 1.61 | 0.81 |
| Delta Neutral Px: | 4419 | ||||
| Net Delta(MM): | $1,332,148 | $1,354,369 | $157,920 | $41,905 | $94,818 |
| 25D Risk Reversal | -0.08 | -0.08 | -0.08 | -0.06 | -0.08 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4600, 4510, 4500, 4400] |
| SPY: [455, 450, 445, 440] |
| QQQ: [360, 355, 350, 340] |
| NDX:[15000, 14500, 14225, 14000] |
| SPX Combo (strike, %ile): [4602.0, 4652.0, 4552.0, 4575.0, 4511.0] |
| SPY Combo: [458.57, 463.55, 453.6, 455.86, 449.52] |
| NDX Combo: [14371.0, 14784.0, 14990.0] |
