Futures have pushed higher to 4170, which officially places the S&P in positive gamma territory. With that we are looking for another day of low volatility, with support at 4150 and key overhead levels of 4175 and 4200.
As you can see in the chart below the 4100-4200 area has really “filled in” with with gamma/open interest, and this should serve to hold S&P prices to this area.
4200 remains our main resistance line into Fridays OPEX. The vanna model also presents a much more balanced view vs previous sessions, suggesting that the upside fuel is now greatly reduced, and dealer shorting pressure builds on moves up into 4200 ( vanna FAQ).
Finally, in regards to the volatility complex you can see that the market has sharply repriced puts compared to just a few days ago. VIX futures are also back down to the lows seen before last weeks spasms. The fear is gone.
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: | 4175 | 4161 | 415 | 13385 | 324 |
| SpotGamma Imp. 1 Day Move: | 0.79%, | 32.0 pts | Range: 4143.0 | 427.0 | ||
| SpotGamma Imp. 5 Day Move: | 4150 | 3.06% | Range: 4023.0 | 4278.0 | ||
| SpotGamma Gamma Index™: | 0.40 | 0.36 | -0.06 | -0.04 | -0.12 |
| Volatility Trigger™(ES Px): | 4150 | 4165 | 415 | 13475 | 330 |
| SpotGamma Absolute Gamma Strike: | 4150 | 4175 | 420 | 12850 | 330 |
| Gamma Notional(MM): | $123 | $-112 | $-296 | $-4 | $-707 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level(ES Px): | 4134 | 4150 | 0 | 0 | 0 |
| Put Wall Support: | 3900 | 4000 | 405 | 13000 | 320 |
| Call Wall Strike: | 4200 | 4200 | 420 | 13750 | 340 |
| CP Gam Tilt: | 1.12 | 0.94 | 0.91 | 0.76 | 0.62 |
| Delta Neutral Px: | 3971 | ||||
| Net Delta(MM): | $1,457,488 | $1,421,311 | $203,772 | $41,443 | $83,746 |
| 25D Risk Reversal | -0.06 | -0.07 | -0.08 | -0.07 | -0.07 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4200, 4175, 4150, 4000] |
| SPY: [420, 415, 410, 400] |
| QQQ: [330, 325, 320, 315] |
| NDX:[14000, 13500, 13000, 12850] |
| SPX Combo: [4214.0, 4264.0, 4239.0, 4222.0, 4289.0] |
| NDX Combo: [13223.0, 13021.0, 13437.0, 13088.0] |
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