Futures were steady overnight, and are currently at 4410. With the SPX indicating back over 4400, there is a higher level of gamma which implies lower volatility today. Our SG max 1 day move is just 0.73% (vs 1.2% y’day). Major support is at 4400 with resistance at 4444. Note another large gamma strike at 4414, which is the 440 SPY equivalent.
The right skew to the vanna model is reflecting the resistance that builds into 4450. Essentially the market will be stuck between this resistance and that very large gamma bar at 4400. This range is what compresses realized volatility, which drags down implied volatility, which in turn nudges the SPX drift higher.
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:||0.73%,||32.0 pts||Range: 4382.0 | 4446.0|
|SpotGamma Imp. 5 Day Move:||1.94%||4412 (Monday Ref Px)||Range: 4327.0 | 4498.0|
|SpotGamma Gamma Index™:||1.18||0.43||0.01||0.04||0.02|
|SpotGamma Absolute Gamma Strike:||4400||4400||440||14450||365|