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Informe SG Levels

Jul 23, 2021 | 0 Comentarios

Futures have pushed higher to 4380 which places the SPX near its 4400 Call Wall resistance line.  Our gamma index is flat overnight, which implies another tight trading range of 71bps/31pts. For today we detect large support at 4382 and 4350.

Below is a chart of gamma by strike, and you can see how prominent the positions are at 4400, and 4350. At this time it does not appear there is much in the way of positions overhead, and so we do not see the Call Wall shifting higher at this time. Our models look for this level to shift higher in order to confirm higher prices for the S&P.

This overhead resistance is shown in the vanna models, too. You can see below that there was a right skew to markets, which implied dealers buying as the market shifted higher, selling if markets shifted lower. In contrast, todays model output shows the opposite skew. This indicates dealers will be selling into resistance above and buying on declines (not there is a vanna video FAQ at the bottom of this page).

Model Overview:

4400 top of the range, 4330 critical support for August OPEX.

SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ
Ref Price: 4373 4369 435 14977 363
SpotGamma Imp. 1 Day Move: 0.71%, 31.0 pts Range: 4342.0 | 4404.0
SpotGamma Imp. 5 Day Move: 4303 2.02% Range: 4217.0 | 4390.0
SpotGamma Gamma Index™: 1.03 1.04 0.13 0.03 0.04
Volatility Trigger™: 4345 4305 434 14500 358
SpotGamma Absolute Gamma Strike: 4350 4350 435 14450 360
Gamma Notional(MM): $363 $374 $391 $4 $65
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4339 4334 0 0 0
Put Wall Support: 4200 4100 430 13000 355
Call Wall Strike: 4400 4400 440 14775 366
CP Gam Tilt: 1.3 1.25 1.1 1.45 1.05
Delta Neutral Px: 4191
Net Delta(MM): $1,354,329 $1,342,618 $184,984 $38,723 $81,124
25D Risk Reversal -0.06 -0.06 -0.07 -0.06 -0.06
Top Absolute Gamma Strikes:
SPX: [4400, 4375, 4350, 4300]
SPY: [440, 436, 435, 433]
QQQ: [365, 363, 362, 360]
NDX:[15000, 14775, 14450, 14000]
SPX Combo: [4404.0, 4430.0, 4417.0, 4400.0, 4382.0]
NDX Combo: [15073.0, 14818.0, 15237.0, 15028.0, 14863.0]
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