Futures were flat overnight, holding 4160. There is now a large amount of gamma at the 4150SPX/415SPY strike which we think “locks in” this price area for today, and could give a base for the S&P to push higher. 4187 and 4200 show as the major resistance lines. Support shows at 4154. As markets have pushed up off of the 4100 area we see much lower risk, but want to see options forming >4200 to confirm an extension of this bull run.
Our vanna models are now showing a sell “skew” in the S&P as markets approach the 4200 Call Wall. If you review the model you can see that skew change shape (clicking on the dates). Looking at this model across QQQ/IWM/SPY you can see the that there is comparatively less selling pressure at higher prices in QQQ/IWM vs SPY. We estimate this by the fact that the “right tail” of the black line is lower(less deltas for dealers to offset w/short hedges) in QQQ/IWM vs SPY. There is a new video here to cover this in further detail.
In summary we still estimate higher volatility in QQQ/IWM relative to SPY, and certainly more upside potential.
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: | 4163 | 4158 | 416 | 13925 | 339 | ||
| VIX Ref: | 17.5 | 17.5 | |||||
| SG Gamma Index™: | 0.70 | 0.41 | 0.07 | 0.02 | -0.03 | ||
| Gamma Notional(MM): | $401 | $407 | $282 | $3 | $-217 | ||
| SGI Imp. 1 Day Move: | 0.83%, | 35.0 pts | Range: 4128.0 | 4198.0 | ||||
| SGI Imp. 5 Day Move: | 3950 | 1.67% | Range: 3884.0 | 4016.0 | ||||
| Zero Gamma Level(ES Px): | 4121 | 4086 | — | 0 | |||
| Vol Trigger™(ES Px): | 4095 | 4095 | 414 | 13375 | 337 | ||
| SG Abs. Gamma Strike: | 4000 | 4000 | 415 | 12850 | 330 | ||
| Put Wall Support: | 3900 | 3900 | 410 | 13375 | 290 | ||
| Call Wall Strike: | 4200 | 4200 | 415 | 14025 | 340 | ||
| CP Gam Tilt: | 1.3 | 1.32 | 1.09 | 1.34 | 0.83 | ||
| Delta Neutral Px: | 3959 | ||||||
| Net Delta(MM): | $1,152,619 | $1,197,729 | $179,395 | $35,398 | $72,210 | ||
| 25D Risk Reversal | -0.06 | -0.06 | -0.06 | -0.08 | -0.08 | ||
| 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: [4187.0, 4237.0, 4212.0, 4137.0, 4154.0] NDX Combo: [13945.0, 14000.0, 13541.0, 14153.0, 14279.0] SPX resistance is: 4200. Support is: 4000 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $401MM from: $406.00MM 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% |
