Futures are flat to last nights close, currently 4125. SPX gamma reduces and as a result we’re pricing in a bit more volatility today with an SG implied move of 87bps (vs 68 y’day). SPY & QQQ are both in a negative gamma position which can induce more volatility. We note support at 4100, and resistance at 4150.
The chart below shows S&P500 realized volatility, which has picked up a bit from recent (post Covid-crash) lows, and seems “primed” to push higher. If you’re looking for further downside we think it must happen rather quickly as the forces of time decay and volatility reversion (charm/vanna) will soon start to kick in and drag equities higher.
As we mentioned a few days ago, the potential for a gamma-induced selloff is here but markets need a push. We have VIX expiration this morning which may provide some “wiggle room” for market volatility, but bulls hold the edge until/unless 4100 is broken.
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: | 4130 | 4121 | 412 | 13780 | 336 | ||
| VIX Ref: | 18.23 | 18.68 | |||||
| SG Gamma Index™: | 0.41 | 0.96 | -0.17 | 0.02 | -0.05 | ||
| Gamma Notional(MM): | $168 | $57 | $-290 | $2 | $-323 | ||
| SGI Imp. 1 Day Move: | 0.87%, | 36.0 pts | Range: 4094.0 | 4166.0 | ||||
| SGI Imp. 5 Day Move: | 3950 | 1.67% | Range: 3884.0 | 4016.0 | ||||
| Zero Gamma Level(ES Px): | 4089 | 4111 | — | 0 | |||
| Vol Trigger™(ES Px): | 4095 | 4095 | 414 | 13425 | 335 | ||
| SG Abs. Gamma Strike: | 4000 | 4000 | 410 | 12850 | 330 | ||
| Put Wall Support: | 3900 | 3900 | 410 | 12500 | 290 | ||
| Call Wall Strike: | 4200 | 4200 | 415 | 14025 | 340 | ||
| CP Gam Tilt: | 1.15 | 1.04 | 0.92 | 1.26 | 0.74 | ||
| Delta Neutral Px: | 3957 | ||||||
| Net Delta(MM): | $1,189,449 | $1,259,133 | $181,781 | $34,787 | $71,802 | ||
| 25D Risk Reversal | -0.06 | -0.05 | -0.07 | -0.09 | -0.09 | ||
| Top Absolute Gamma Strikes: SPX: [4150, 4125, 4100, 4000] SPY: [415, 412, 410, 400] QQQ: [340, 338, 335, 330] NDX:[14025, 14000, 13750, 12850] SPX Combo: [4194.0, 4144.0, 4243.0, 4152.0, 4218.0] NDX Combo: [13929.0, 13997.0, 13515.0] SPX resistance is: 4200. Support is: 4000 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $167MM from: $56.00MM 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% |
