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Informe SG Levels

May 27, 2021 | 0 Comentarios

Futures are at 4181 following a quiet overnight session. Our estimated max move on the day is 0.88%, with resistance at 4200 and support at 4175.
Our concern for markets here is that they can not seem to get above 4200. In typical bull moves we see the S&P base above a large gamma area (4200) and grind higher to the Call Wall 4250. What seems to be happening now is that markets are clinging to the large 4200 gamma magnet, but open interest is “deteriorating” underneath. We say this because the gamma flip points continue to slide higher, with the Zero Gamma line now at 4180. However, 4160 remains our critical risk line, and we would anticipate a large drawdown in markets should that level be broken.

few days ago we posted this EquityHub view of the SPX which showed a “slipstream” for markets if 4160 is broken. That is still in place, but now the “right shoulder” of resistance is at 4195, down from 4205. It is a subtle change which shows open interest is consolidating <4200, but we also read this as bullish if markets can close >4195 today. This is because the “SG Momentum”(y axis) drops significantly which implies an increase in volatility (ie “breakout”).

SPX Volatility Estimate

Model Overview:

New June OPEX range starts forming next week. We look for high volatility into June 1.

SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ
Ref Price: 4187 4193 419 13677 334
SpotGamma Imp. 1 Day Move: 0.88%, 37.0 pts Range: 4150.0 | 4224.0
SpotGamma Imp. 5 Day Move: 4164 2.28% Range: 4070.0 | 4260.0
SpotGamma Gamma Index™: 0.81 1.06 0.05 0.01 -0.01
Volatility Trigger™: 4160 4165 418 13475 331
SpotGamma Absolute Gamma Strike: 4200 4200 420 13500 330
Gamma Notional(MM): $118 $359 $224 $1 $-67
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4181 4155 0 0 0
Put Wall Support: 4000 4000 410 12850 320
Call Wall Strike: 4250 4210 420 13500 335
CP Gam Tilt: 1.25 1.21 1.07 1.1 0.95
Delta Neutral Px: 4012
Net Delta(MM): $1,399,197 $1,416,189 $190,490 $40,649 $76,728
25D Risk Reversal -0.07 -0.07 -0.07 -0.06 -0.07
Top Absolute Gamma Strikes:
SPX: [4200, 4175, 4150, 4000]
SPY: [425, 420, 418, 415]
QQQ: [340, 335, 330, 325]
NDX:[14000, 13500, 13000, 12850]
SPX Combo: [4240.0, 4189.0, 4215.0, 4265.0, 4290.0]
NDX Combo: [13714.0, 13919.0, 13468.0, 13837.0, 13427.0]
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