Futures are at 4160 with little movement overnight. For today we have a fairly large SPX gamma expiration at the open, and then we estimate 25-30% of total gamma (S&P/QQQ) expires at the close. We are not anticipating much movement for this session, with large trading levels at 4150, 4175 and 4193.
With this large gamma expiration we look for volatility expand next week, which should setup either a retest of 4100 or a break of 4200.
The vanna snapshot frames the change in setup from yesterday into today. Note yesterdays model (left) had a skew which portrays a higher volatility situation. This is because dealers will be buying as markets rise, and selling as they drop. Todays model update (right) shows dealers are now sellers into 4200, and as 4200 is the Call Wall we consider it a major resistance level.
Model Overview:
4100 is the critical risk line into Fridays OPEX. Below 4100 is a high risk, negative gamma market position.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4162 | 4155 | 415 | 13513 | 328 |
| SpotGamma Imp. 1 Day Move: | 1.23%, | 51.0 pts | Range: 4111.0 | 4213.0 | ||
| SpotGamma Imp. 5 Day Move: | 4150 | 3.06% | Range: 4023.0 | 4278.0 | ||
| SpotGamma Gamma Index™: | 0.45 | -0.35 | -0.04 | -0.01 | -0.07 |
| Volatility Trigger™: | 4144 | 4105 | 414 | 13529 | 330 |
| SpotGamma Absolute Gamma Strike: | 4150 | 4150 | 415 | 13500 | 330 |
| Gamma Notional(MM): | $-12 | $-5 | $-294 | $0 | $-466 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4152 | 4145 | 0 | 0 | 0 |
| Put Wall Support: | 4140 | 4050 | 410 | 13450 | 325 |
| Call Wall Strike: | 4200 | 4200 | 420 | 13550 | 332 |
| CP Gam Tilt: | 1.11 | 1.0 | 0.92 | 0.99 | 0.77 |
| Delta Neutral Px: | 4019 | ||||
| Net Delta(MM): | $1,466,677 | $1,483,438 | $198,589 | $42,716 | $83,976 |
| 25D Risk Reversal | -0.07 | -0.07 | -0.09 | -0.03 | -0.07 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4175, 4150, 4125, 4000] |
| SPY: [420, 416, 415, 410] |
| QQQ: [330, 328, 325, 320] |
| NDX:[13500, 13450, 13400, 12850] |
| SPX Combo: [4205.0, 4255.0, 4214.0, 4193.0, 4230.0] |
| NDX Combo: [13356.0, 13153.0, 13653.0, 13775.0, 13477.0] |
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