Futures have pulled back to 4403 after putting in a low of 4390. 4400 remains the Call Wall, with large support at 4379. We do note a tick up in gamma at strikes overhead (4450,4500) but they are still smaller than 4400 in positive gamma terms. All eyes are on the Fed for tomorrow, and so we look for a fairly quiet session today.
The overnight has been interesting as we have seen two quick drops the last two nights. Both of those dips were bought and fully recovered – but the VIX (blue line below) quickly shifted to 19.40 on both occasions.
These ~2pt spikes in VIX are quite sharp given the relative move in ES. While these are moves that are taking place pre-open, we are taking note of the “jumpiness”. Our intraday high/low volatility metric remaining quite high which implies a fair amount of realized volatility taking place, and short dated SPX Implied vol holds an additional premium due to the FOMC.
The bottom line to this is we think markets are poised for a decent move off the back of the FOMC. Queue the “vanna trade”, as Implied volatility is primed and ready to spark an SPX shift lower, but of course that could get crushed and serve to ratchet up the SPX.
Finally, we flag China as something to watch. The FXI is -8% in 5 days, and -12% in ’21. We are not qualified to comment on “why” they’re down, but we are we’ll aware that volatility can quickly spread across markets. Below is the China ETF VIX(blue), vs the US VIX (orange)….
Model Overview:
4400 top of the range, 4330 critical support for August OPEX.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4400 | 4396 | 441 | 15080 | 368 |
| SpotGamma Imp. 1 Day Move: | 0.76%, | 33.0 pts | Range: 4367.0 | 4433.0 | ||
| SpotGamma Imp. 5 Day Move: | 4389 | 2.03% | Range: 4300.0 | 4478.0 | ||
| SpotGamma Gamma Index™: | 1.63 | 1.63 | 0.22 | 0.03 | 0.01 |
| Volatility Trigger™: | 4345 | 4345 | 432 | 14500 | 364 |
| SpotGamma Absolute Gamma Strike: | 4400 | 4400 | 440 | 14450 | 370 |
| Gamma Notional(MM): | $387 | $355 | $889 | $4 | $34 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4332 | 4347 | 0 | 0 | 0 |
| Put Wall Support: | 4100 | 4100 | 430 | 13000 | 355 |
| Call Wall Strike: | 4400 | 4400 | 445 | 14775 | 370 |
| CP Gam Tilt: | 1.63 | 1.24 | 1.3 | 1.51 | 1.03 |
| Delta Neutral Px: | 4248 | ||||
| Net Delta(MM): | $1,215,708 | $1,214,603 | $187,964 | $37,873 | $81,371 |
| 25D Risk Reversal | -0.07 | -0.07 | -0.07 | -0.06 | -0.06 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4450, 4400, 4375, 4350] |
| SPY: [445, 441, 440, 436] |
| QQQ: [370, 368, 360, 350] |
| NDX:[15000, 14775, 14450, 14000] |
| SPX Combo: [4379.0, 4481.0, 4428.0, 4410.0, 4406.0] |
| NDX Combo: [15160.0, 15371.0, 14752.0, 15250.0] |
