Futures were flat overnight in a stark change from the last several days. Our models show a very flat gamma index for today, with the gamma flip line at 4320. 4300 is major support, with resistance at 4350 and then 4376.
As you can see below we have two large gamma strikes: 4350 and 4300. There is also a large set of positions from 4200-4300 which suggests solid support for markets underneath.
The vanna model still shows a slight skew which suggests that upside resistance is there, but light. With that we think its reasonable for markets to push back to the 4375-4400 area before end of week. Because of these large gamma positions posted in the 4200 strikes we just do not see the setup for a sustained drawdown. Furthermore its likely that implied volatility (ie VIX) continues to consolidate which adds fuel for the market to grind higher.
Last night we posted up a short video in regards to gamma and volatility which some of you may find useful.
Additionally we’ve launched a support ticketing system in an effort to improve your SpotGamma experience. This goes along with the extensive FAQ available which covers most aspects of SG.
Model Overview:
4400 top of the range, 4330 critical support for August OPEX.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4320 | 4325 | 431 | 14706 | 358 |
| SpotGamma Imp. 1 Day Move: | 2.48%, | 107.0 pts | Range: 4213.0 | 4427.0 | ||
| SpotGamma Imp. 5 Day Move: | 4303 | 2.02% | Range: 4217.0 | 4390.0 | ||
| SpotGamma Gamma Index™: | 0.04 | 0.04 | -0.06 | 0.02 | -0.04 |
| Volatility Trigger™: | 4320 | 4320 | 431 | 14175 | 358 |
| SpotGamma Absolute Gamma Strike: | 4350 | 4350 | 430 | 14450 | 360 |
| Gamma Notional(MM): | $-71 | $-21 | $-227 | $3 | $-53 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4318 | 4282 | 0 | 0 | 0 |
| Put Wall Support: | 4200 | 4200 | 425 | 13000 | 350 |
| Call Wall Strike: | 4400 | 4400 | 433 | 14775 | 361 |
| CP Gam Tilt: | 1.01 | 0.99 | 0.94 | 1.32 | 0.96 |
| Delta Neutral Px: | 4171 | ||||
| Net Delta(MM): | $1,348,394 | $1,350,111 | $183,174 | $35,148 | $79,154 |
| 25D Risk Reversal | -0.09 | -0.09 | -0.08 | -0.07 | -0.07 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4350, 4300, 4250, 4200] |
| SPY: [435, 433, 432, 430] |
| QQQ: [360, 358, 355, 350] |
| NDX:[15000, 14775, 14450, 14000] |
| SPX Combo: [4402.0, 4376.0, 4350.0, 4449.0, 4432.0] |
| NDX Combo: [14745.0, 14789.0, 14348.0, 14540.0, 14672.0] |
