Futures are….flat. 4235. Positive gamma grew a bit which pushes the estimated max move down to 34 pts. We see support at 4225 and resistance at the 4253 (large Combo strike). The 4250 line is also our Call Wall resistance, as that metric did not roll higher overnight.
You can see this resistance in the vanna model, note the change in “skewness” to the right from yesterday to today. This implies heavier upside resistance.
With that resistance, it seems as the bulk of options interest (OI) shifted up from 4200 to 4225 since yesterday, which aligns with some of the large OI changes we saw a day or two ago. The amount of gamma expiring for tonight also increased for SPX to 15% from %10 – with SPY & QQQ at ~20%. This means we should see a bit more volatility to start next week.
Finally – and this is something to mark for next week – the “shape” of the gamma distribution in our EquityHub model has changed significantly. This model had shown a flat (platykurtic) distribution with a support “inflection” point at 4160 for some time, indicating something of a void down to 4060. Those strikes are marked in the chart below.
As you can see below there is now a real peak 4225 (leptokurtic distribution). The sharp “drop” in the area plot (SG Momentum Indicator) to the left and right infer high volatility if markets break this current trading range. This is because of the fact that the rate of change of gamma (“SG Momentum”) is very high.
It also implies that if this gamma is wiped out (ie through expiration) that there are not many positions in place to “catch” markets.
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.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4241 | 4238 | 423 | 13977 | 340 |
| SpotGamma Imp. 1 Day Move: | 0.8%, | 34.0 pts | Range: 4207.0 | 4275.0 | ||
| SpotGamma Imp. 5 Day Move: | 4220 | 2.01% | Range: 4136.0 | 4306.0 | ||
| SpotGamma Gamma Index™: | 1.31 | 0.67 | 0.02 | 0.02 | -0.04 |
| Volatility Trigger™: | 4220 | 4195 | 420 | 13490 | 334 |
| SpotGamma Absolute Gamma Strike: | 4225 | 4200 | 420 | 13500 | 330 |
| Gamma Notional(MM): | $486 | $428 | $780 | $5 | $121 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4202 | 4200 | 0 | 0 | 0 |
| Put Wall Support: | 4000 | 4000 | 410 | 12500 | 333 |
| Call Wall Strike: | 4250 | 4250 | 425 | 13500 | 340 |
| CP Gam Tilt: | 1.33 | 1.24 | 1.23 | 1.4 | 1.09 |
| Delta Neutral Px: | 4033 | ||||
| Net Delta(MM): | $1,530,973 | $1,499,002 | $206,197 | $42,917 | $78,968 |
| 25D Risk Reversal | -0.06 | -0.06 | -0.06 | -0.06 | -0.06 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4275, 4250, 4225, 4200] |
| SPY: [425, 422, 420, 415] |
| QQQ: [340, 335, 330, 325] |
| NDX:[14000, 13900, 13500, 12850] |
| SPX Combo: [4275.0, 4253.0, 4300.0, 4326.0, 4266.0] |
| NDX Combo: [14101.0, 13654.0, 14311.0, 13822.0, 13696.0] |
