It was a quiet session overnight with futures currently at 4135. The Vol Trigger, our critical risk metric, slid up to 4145 overnight. This implies that yesterdays trading was put heavy and that all of our indices start in a negative gamma position. Although we start off in this position, we are still holding 4100 as the critical support line. As you can see in the chart below there is a substantial amount of interest at 4100 which is why we view support at that line. Note the “void” between 4100 & 4000.
With this negative gamma position we are anticipating high volatility today. Watching VIX will be key, if the VIX breaks lower there is plenty of fuel to push this market back up into the 4200 Call Wall. However, if the VIX pushes higher and 4100 support breaks, then that likely invokes a test of 4000 (recall our discussion yesterday of the impact of implied volatility on hedging, aka “vanna”).
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: | 4130 | 4129 | 412 | 13753 | 335 | ||
| VIX Ref: | 18.71 | 18.71 | |||||
| SG Gamma Index™: | -0.02 | 0.69 | -0.33 | 0.01 | -0.09 | ||
| Gamma Notional(MM): | $19 | $69 | $-709 | $2 | $-480 | ||
| SGI Imp. 1 Day Move: | 2.01%, | 83.0 pts | Range: 4047.0 | 4213.0 | ||||
| SGI Imp. 5 Day Move: | 3950 | 1.67% | Range: 3884.0 | 4016.0 | ||||
| Zero Gamma Level(ES Px): | 4120 | 4118 | — | 0 | |||
| Vol Trigger™(ES Px): | 4145 | 4095 | 414 | 13425 | 336 | ||
| SG Abs. Gamma Strike: | 4000 | 4000 | 410 | 12850 | 330 | ||
| Put Wall Support: | 4075 | 3900 | 410 | 13375 | 325 | ||
| Call Wall Strike: | 4200 | 4200 | 420 | 14025 | 340 | ||
| CP Gam Tilt: | 1.0 | 1.05 | 0.82 | 1.21 | 0.68 | ||
| Delta Neutral Px: | 3957 | ||||||
| Net Delta(MM): | $1,273,661 | $1,143,137 | $185,713 | $36,270 | $76,334 | ||
| 25D Risk Reversal | -0.06 | -0.06 | -0.06 | -0.07 | -0.08 | ||
| Top Absolute Gamma Strikes: SPX: [4150, 4125, 4100, 4000] SPY: [415, 413, 410, 400] QQQ: [340, 335, 330, 325] NDX:[14025, 14000, 13750, 12850] SPX Combo: [4197.0, 4246.0, 4106.0, 4089.0, 4098.0] NDX Combo: [13531.0, 13654.0, 14012.0, 13943.0] The Volatility Trigger has moved UP: 4145 from: 4095 The PutWall has moved to: 4075 from: 3900 SPX is below the Volatility Trigger™. The 4120.0 level is first level of resistance and is critical as its the negative gamma threshold. The trigger level of: 4145 will act as overhead resistance. Watching VIX is key, if volatility comes in dealers will start to buy back shares as their short puts lose value. This could start a rally. The total gamma has moved DOWN: $19MM from: $69.00MM 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% |
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