Informe SG Levels

Futures are up to the 4210 area overnight, which indicates is a pin to the 420 SPY strike. We are looking for another low volatility day, with implied volatility (VIX) declining and options decay defaulting to a “drift” higher in markets. QQQ does show a bit more negative gamma, and so we look for higher relative movement in the Nasdaq.

For todays expiration our models show about 15% SPX /30% SPY gamma expiring, which could allow volatility increase a bit into next week. This in turn may free markets for a push up into that 4250 target (Call Wall) area.

It does appear that the gamma flip line has now shifted up under 4195 which we actually view as healthy. This suggests that hedges are coming in under the large 4200 strike.  We had been highlighting a “void” over the last several weeks, but the 4100-4200 has now filled in and it likely takes a large expiration to shift things.

We are watching the “meme-stock” activity closely. If this flow increases it cause be a destabilizing force to markets. Our EquityHub model shows about 50% of AMC & GME gamma expiring today, and so we think those stocks see some consolidation today. As GME has earnings next week attention may remain on this space and lead to further volatility. Should these stocks continue to gap higher, its likely that market makers and brokers react quickly to raise options prices (implied volatility rates) and margin rates which inhibits a Jan ’21 type move.

Model Overview:

While markets hold 4200 we look for a low volatility grind higher, with 4250 the overhead target. 4160 is the gamma flip line, and therefore critical support.