Futures are at 4440 indicating an SPX opening at 4450. The Call Wall strike has shifted to 4500 which validates a move higher in the SPX. We do not see 4500 being achieved today, as our model forecasts another tight trading range of 0.71%. We see bit of resistance at 4465, and larger resistance at 4494. To the downside support at 4440 and 4415.
With the break in VIX, the Risk Reversal figure saw a corresponding tick down 7. These measures of a decline in implied volatility signal a tail wind for equities.
Its likely that the S&P has now transitioned from the 4400-4450 range to the 4450-4500 range as shown below. There remains a lot of gamma at 4450 and at 445 in SPY which is why we don’t see an “explosion” higher here, but instead consider the next leg a sticky sort of grind higher (recall how long it took for markets to digest the 4425 area).
Traders looking for more volatility may want look at the Nasdaq. The QQQ has a lighter gamma position, with its major gamma levels showing up near 370 (~1%) overhead.
You can see that higher volatility modeled in the vanna charts which have a strong left skew in QQQ. This implies that dealers are light buyers up into the 370 area.
Model Overview:
4500 top, 4400 support into 8/20 OPEX.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4400 | 4400 | 440 | 15000 | 366 |
| SpotGamma Imp. 1 Day Move: | 0.71%, | 31.0 pts | Range: 4369.0 | 4431.0 | ||
| SpotGamma Imp. 5 Day Move: | 1.91% | 4417 (Monday Ref Px) | Range: 4333.0 | 4501.0 | ||
| SpotGamma Gamma Index™: | 2.00 | 1.20 | 0.21 | 0.04 | -0.07 |
| Volatility Trigger™: | 4395 | 4395 | 443 | 14740 | 366 |
| SpotGamma Absolute Gamma Strike: | 4400 | 4400 | 445 | 14775 | 368 |
| Gamma Notional(MM): | $-1 | $9 | $-677 | $5 | $-302 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4398 | 4398 | 0 | 0 | 0 |
| Put Wall Support: | 4100 | 4395 | 435 | 14000 | 360 |
| Call Wall Strike: | 4500 | 4450 | 445 | 14775 | 370 |
| CP Gam Tilt: | 1.6 | 1.0 | 0.85 | 1.39 | 0.82 |
| Delta Neutral Px: | 4248 | ||||
| Net Delta(MM): | $1,477,335 | $1,430,733 | $189,899 | $45,045 | $84,672 |
| 25D Risk Reversal | -0.07 | -0.08 | -0.06 | -0.06 | -0.06 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4500, 4450, 4425, 4400] |
| SPY: [445, 443, 442, 440] |
| QQQ: [370, 368, 365, 360] |
| NDX:[15000, 14775, 14450, 14000] |
| SPX Combo: [4467.0, 4445.0, 4494.0, 4463.0, 4454.0] |
| SPY Combo: [445.11, 444.22, 449.11, 446.44, 446.0] |
| NDX Combo: [15140.0, 14826.0, 14946.0, 15065.0, 15350.0] |
