Futures are up slightly to 4335. Our SG index forecasts just a 59bps/26pt max move for the day which is the lowest figure in some time. Major resistance shows in the Call Wall Strike(s) of 4350(SPX) and 4362 (SPY 435 equivalent). Support is at 4314 and 4300.
As you can see below the move in positioning overnight was essentially 0. For the short term this implies little change to what we’ve seen the last few days in markets: low volatility grind.
However, there are two datapoints which catch our eye this AM. The first is that the Call Wall shifted lower from 4400 to 4350. We generally mark this as a bearish signal. In this case we saw ~14k calls added to 4350 yesterday which simply bumped the size at that strike. This may make this area a bit more “sticky” into Friday.
Second is the risk reversal metric which is reading .07. This shows that put options are now being priced higher over the last several days which is curious given the bullishness in markets. While it appears puts are being priced higher it does not seem that traders are adding put hedges in any significant way. The Put Wall actually moved lower overnight which suggests no significant hedges exist between 4300 & 4000.
One of the things we monitor is intraday volatility which shows that around the start of the month a major low was made in “compression” (middle chart). This suggest that we had a period of very small movement which we coincide with major highs/lows in markets. This compression low seemed to coincide with what could be a low in realized volatility which could mean we see higher volatility markets going forward. “Higher volatility” doesn’t have to mean lower markets but it could signal that market movement in general is going to increase.
Model Overview:
4350 top, 4300 support into July OPEX.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4333 | 4330 | 432 | 14783 | 360 |
| SpotGamma Imp. 1 Day Move: | 0.59%, | 26.0 pts | Range: 4307.0 | 4359.0 | ||
| SpotGamma Imp. 5 Day Move: | 4337 | 2.02% | Range: 4250.0 | 4425.0 | ||
| SpotGamma Gamma Index™: | 1.12 | 0.95 | 0.08 | 0.10 | 0.02 |
| Volatility Trigger™: | 4295 | 4295 | 431 | 14090 | 354 |
| SpotGamma Absolute Gamma Strike: | 4300 | 4300 | 433 | 14450 | 360 |
| Gamma Notional(MM): | $359 | $332 | $701 | $14 | $73 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4301 | 4298 | 0 | 0 | 0 |
| Put Wall Support: | 4000 | 4100 | 430 | 12500 | 330 |
| Call Wall Strike: | 4350 | 4400 | 435 | 15250 | 365 |
| CP Gam Tilt: | 1.39 | 1.22 | 1.22 | 2.67 | 1.06 |
| Delta Neutral Px: | 4183 | ||||
| Net Delta(MM): | $1,219,515 | $1,216,819 | $162,978 | $41,401 | $82,228 |
| 25D Risk Reversal | -0.07 | -0.06 | -0.06 | -0.05 | -0.06 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4350, 4325, 4300, 4250] |
| SPY: [435, 433, 432, 430] |
| QQQ: [360, 358, 355, 350] |
| NDX:[15300, 15250, 14450, 14100] |
| SPX Combo: [4336.0, 4388.0, 4362.0, 4314.0, 4353.0] |
| NDX Combo: [14967.0, 14760.0, 15173.0, 15011.0, 14804.0] |
