Futures are off to 4139 after overnight highs of 4167. Positive gamma has reduced significantly across the S&P500, with QQQ and IWM holding a flat to negative gamma position. We anticipate a bit more volatility today than yesterday, with an SG implied move of 68bps. Support lines show at 4125 and 4100, with resistance at 4150 and 4174.
While we mark SPY gamma flipping on a break of 414, SPX does not flip unless there is a break of 4100. For now we are reading this selling as simple consolidation, however should 4100 break we think markets then test 4000 in short order.
The QQQ vanna model is starting to “skew” again, meaning that dealers may now start to add to volatility. This skew implies increased volatility as if the market declines, implied volatility picks up and dealers will have futures to sell. However this “skew” implies that dealers need to buy futures on a tech market rally and/or as QQQ put options decay/expire (recall end of March).
This is an interesting setup in VIX expiration tomorrow morning, and we think a fairly decent trend could setup into the end of the week, with either 4200 or 4000 tagged by Friday.
Model Overview:
4000 – 4200 range into May OPEX. Gamma is currently moderate, and we see fairly low volatility unless markets break the 4100 level.
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 4139 | 4010 | 415 | 13847 | 338 | ||
| VIX Ref: | 18.53 | 17.29 | |||||
| SG Gamma Index™: | 0.96 | 1.48 | 0.02 | 0.02 | -0.04 | ||
| Gamma Notional(MM): | $168 | $541 | $70 | $2 | $-267 | ||
| SGI Imp. 1 Day Move: | 0.68%, | 28.0 pts | Range: 4111.0 | 4167.0 | ||||
| SGI Imp. 5 Day Move: | 3950 | 1.67% | Range: 3884.0 | 4016.0 | ||||
| Zero Gamma Level(ES Px): | 4097 | 4086 | — | 0 | |||
| Vol Trigger™(ES Px): | 4095 | 3920 | 414 | 13200 | 339 | ||
| SG Abs. Gamma Strike: | 4000 | 4000 | 415 | 12850 | 330 | ||
| Put Wall Support: | 3900 | 3800 | 410 | 12500 | 290 | ||
| Call Wall Strike: | 4200 | 4050 | 420 | 14025 | 340 | ||
| CP Gam Tilt: | 1.41 | 1.5 | 1.02 | 1.33 | 0.77 | ||
| Delta Neutral Px: | 3907 | ||||||
| Net Delta(MM): | $1,264,479 | $1,080,803 | $179,336 | $37,955 | $72,061 | ||
| 25D Risk Reversal | -0.05 | -0.05 | -0.06 | -0.07 | -0.07 | ||
| Top Absolute Gamma Strikes: SPX: [4200, 4150, 4100, 4000] SPY: [420, 415, 410, 400] QQQ: [340, 338, 335, 330] NDX:[14025, 14000, 13750, 12850] SPX Combo: [4174.0, 4224.0, 4183.0, 4199.0, 4125.0] NDX Combo: [13951.0, 13882.0, 13481.0] The Volatility Trigger has moved UP: 4095 from: 3920 The PutWall has moved to: 3900 from: 3800 The Call Wall has moved to: 4200 from: 4050 SPX resistance is: 4200. Support is: 4000 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $168MM from: $541.00MM Gamma is tilted towards Puts, may indicate puts are expensive Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
