Markets gave a bit back today with the SPX closing down 15pts to 4369. SPX options volume was decent at 1.1mm contracts – but again we saw a put heavy 2.4 PC ratio. The VIX also closed higher to 17.12.
Today falls right in line with what our models suggested, and we anticipate another low volatlity day tomorrow.
4350-4400 remains the key area into Friday. In single stocks we see >50% of names have their largest expiration (gamma weighted) on Friday. We also note a lot of weakness in meme names with the likes of SPCE, GME, AMC all down >4%. There are plenty of shifts occurring and we think picks up into next week.
Today we spoke with Imran Lakha about the volatility complex and some of the things we are seeing. You can access that video here:
4400 resistance, 4300 support into 7/16 OPEX
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4359 | 4359 | 435 | 14865 | 362 |
| SpotGamma Imp. 1 Day Move: | 0.76%, | 33.0 pts | Range: 4326.0 | 4392.0 | ||
| SpotGamma Imp. 5 Day Move: | 4351 | 1.82% | Range: 4272.0 | 4430.0 | ||
| SpotGamma Gamma Index™: | 1.51 | 1.51 | 0.23 | 0.10 | 0.00 |
| Volatility Trigger™: | 4315 | 4315 | 432 | 14700 | 356 |
| SpotGamma Absolute Gamma Strike: | 4350 | 4350 | 440 | 14450 | 360 |
| Gamma Notional(MM): | $282 | $279 | $740 | $14 | $47 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4327 | 4312 | 0 | 0 | 0 |
| Put Wall Support: | 4100 | 4100 | 420 | 14690 | 350 |
| Call Wall Strike: | 4400 | 4400 | 440 | 15250 | 365 |
| CP Gam Tilt: | 1.56 | 1.18 | 1.24 | 2.25 | 1.04 |
| Delta Neutral Px: | 4177 | ||||
| Net Delta(MM): | $1,363,107 | $1,363,029 | $182,017 | $45,294 | $84,681 |
| 25D Risk Reversal | -0.06 | -0.06 | -0.06 | -0.05 | -0.05 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4400, 4375, 4350, 4300] |
| SPY: [440, 437, 436, 435] |
| QQQ: [362, 360, 355, 350] |
| NDX:[15300, 15250, 14800, 14450] |
| SPX Combo: [4377.0, 4398.0, 4425.0, 4390.0, 4351.0] |
| NDX Combo: [15237.0, 14969.0, 15281.0, 15177.0, 14806.0] |