Futures are exactly flat to 4425. Futures have stuck to a 20 handle range over the last 3 days, and we see little reason for that to change today. The SG implied move is a tight 75 bps, with resistance at 4441 and support at 4414.
Looking at the basic gamma layout in SPY you can see why markets are stuck. There is the large pile of gamma at 440/4400 and a column of positive gamma at 445/4450. Until these positions expire, are closed or rolled then its likely more “nap time” for the S&P500.
We see little change in the total options position until 8/16 for SPY and 8/20 for SPX.
Model Overview:
4500 top, 4400 support into 8/20 OPEX.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4400 | 4427 | 440 | 15109 | 368 |
| SpotGamma Imp. 1 Day Move: | 0.75%, | 33.0 pts | Range: 4367.0 | 4433.0 | ||
| SpotGamma Imp. 5 Day Move: | 1.91% | 4417 (Monday Ref Px) | Range: 4333.0 | 4501.0 | ||
| SpotGamma Gamma Index™: | 1.70 | 1.40 | 0.12 | 0.05 | -0.02 |
| Volatility Trigger™: | 4370 | 4395 | 439 | 14740 | 367 |
| SpotGamma Absolute Gamma Strike: | 4400 | 4400 | 440 | 14450 | 370 |
| Gamma Notional(MM): | $113 | $481 | $-222 | $5 | $-57 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4398 | 4392 | 0 | 0 | 0 |
| Put Wall Support: | 4100 | 4100 | 435 | 14000 | 360 |
| Call Wall Strike: | 4450 | 4450 | 445 | 14775 | 375 |
| CP Gam Tilt: | 1.52 | 1.29 | 0.94 | 1.46 | 0.96 |
| Delta Neutral Px: | 4216 | ||||
| Net Delta(MM): | $1,448,352 | $1,432,600 | $184,679 | $45,415 | $81,482 |
| 25D Risk Reversal | -0.07 | -0.07 | -0.06 | -0.05 | -0.05 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4450, 4425, 4400, 4350] |
| SPY: [445, 443, 442, 440] |
| QQQ: [370, 368, 365, 360] |
| NDX:[15250, 15000, 14775, 14450] |
| SPX Combo: [4441.0, 4450.0, 4489.0, 4467.0, 4414.0] |
| SPY Combo: [443.9, 444.78, 448.76, 446.55, 441.25] |
| NDX Combo: [15377.0, 15332.0, 15165.0, 15014.0, 15256.0] |
