Futures are off slightly to 4355. Key levels remain the same with 4350 support and 4400 the top of the range into Fridays close. For today we highlight 4390 as large Combo Strike resistance. Our SG implied max move is just 71bps/31pts today and so we anticipate a rather quiet session.
While the S&P is falling into typical pre-OPEX form we see an interesting “tilt” to the QQQ position. As you can see below the SPX vanna model has a right skew which infers that there is resistance above – not surprising given the high gamma in the 4350-4400 area. However the QQQ has a subtle left skew which shows less resistance at higher prices but that also means heavier selling if markets decline. This is something that we saw back in March when there were large QQQ put positions in place.
We also note the weakness in the RUT/IWM landscape, which, along with meme stocks has been hit hard as of late. There are likely macro-based reasons for this divergence, but regardless its something to flag (similar to the QQQ skew above).
Currently we see 30% of QQQ/SPY/IWM gamma and 25% of SPX gamma set to roll off on Friday. This will change the landscape quite a bit into next week. As per usual we think this all equates to higher volatility next week, and as long as the SPX remains above the Vol Trigger its “party on”.
Model Overview:
4400 resistance, 4350 support into 7/16 OPEX
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4364 | 4368 | 436 | 14915 | 363 |
| SpotGamma Imp. 1 Day Move: | 0.71%, | 31.0 pts | Range: 4333.0 | 4395.0 | ||
| SpotGamma Imp. 5 Day Move: | 4351 | 1.82% | Range: 4272.0 | 4430.0 | ||
| SpotGamma Gamma Index™: | 1.02 | 0.83 | 0.21 | 0.06 | 0.01 |
| Volatility Trigger™: | 4340 | 4340 | 432 | 14740 | 355 |
| SpotGamma Absolute Gamma Strike: | 4375 | 4350 | 436 | 15000 | 360 |
| Gamma Notional(MM): | $172 | $203 | $851 | $14 | $12 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4331 | 4356 | 0 | 0 | 0 |
| Put Wall Support: | 4100 | 4100 | 420 | 14690 | 355 |
| Call Wall Strike: | 4400 | 4400 | 440 | 15250 | 365 |
| CP Gam Tilt: | 1.3 | 1.12 | 1.25 | 1.8 | 1.01 |
| Delta Neutral Px: | 4182 | ||||
| Net Delta(MM): | $1,413,714 | $1,399,109 | $187,586 | $47,286 | $88,554 |
| 25D Risk Reversal | -0.06 | -0.07 | -0.06 | -0.06 | -0.06 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4400, 4375, 4350, 4300] |
| SPY: [440, 437, 436, 435] |
| QQQ: [365, 362, 360, 350] |
| NDX:[15000, 14850, 14800, 14450] |
| SPX Combo: [4390.0, 4399.0, 4438.0, 4490.0, 4420.0] |
| NDX Combo: [15001.0, 15210.0, 15046.0, 15135.0, 14717.0] |
