Futures have popped back near last weeks highs of 4415. As noted last week we held 440SPY/4400SPX as the “Call Wall” top, and the market was unable to push through that level. The Call Wall has now jumped to the 4500 strike, which “validates” the market trading over 4400.
With that we see 4400 as major support for today, with resistance at 4445. There is a very large Combo bar at 4417 which may serve as a “pivot”. Our models forecast a tight trading range, with a max move of 37pts. This is emphasized by today’s vanna model, which shows building resistance into 4450 due to dealers have increased long delta exposure (and offsetting with short futures).
The gamma flip lines have now slid up under 4400, which we regard as a healthy signal. We like to see the entire “range” of key SG levels move high in unison as it suggests a healthy structure to markets. By this we mean that traders are adding calls at slightly higher prices, and put hedges are filling in beneath.
4400 top of the range, 4330 critical support for August OPEX.
|SpotGamma Proprietary Levels||Latest Data||Previous||SPY||NDX||QQQ|
|SpotGamma Imp. 1 Day Move:||0.83%,||37.0 pts||Range: 4375.0 | 4449.0|
|SpotGamma Imp. 5 Day Move:||1.94%||4412 (Monday Ref Px)||Range: 4327.0 | 4498.0|
|SpotGamma Gamma Index™:||0.69||0.61||-0.06||0.03||-0.02|
|SpotGamma Absolute Gamma Strike:||4400||4400||440||14450||360|
|Additional Key Levels||Latest Data||Previous||SPY||NDX||QQQ|
|Zero Gamma Level:||4377||4375||0||0||0|
|Put Wall Support:||4200||4200||435||14500||360|
|Call Wall Strike:||4500||4500||445||14775||370|
|CP Gam Tilt:||1.2||1.08||0.93||1.45||0.93|
|Delta Neutral Px:||4196|
|25D Risk Reversal||-0.07||-0.08|