Futures are a bit higher to 4457. There was a strong build in gamma overnight which pushes our estimated range to just 0.49% today. This is one of the largest positive gamma positions in recent memory which is mainly a function of call positions growing larger. 445 SPY (4460 SPX) is the main level to watch today, with overhead resistance at 4470 and 4494.
Todays expiration is material. We see >20% of S&P500/QQQ gamma expiring on the close. This gives us quite an interesting setup into next week, which is OPEX week. Because today holds such a large amount of expiring gamma, we look for volatility to expand on Monday, and then tighten up into Fridays (8/20) OPEX.
However, as mentioned previously we think that implied volatility and some put positions come in ahead of the 8/26 Jackson Hole event. This could put a bit of pressure on markets. The timing of all this is a bit tricky, but the bottom line is that we do not see the Call Wall shifting higher than 4500 in the SPX before Sep1. Its therefore likely the market consolidates some of these gains into next week.
Lastly we again note that QQQ is in a much more volatile position that the S&P. Those looking for a bit more action may want to focus on the NDX/QQQ
Model Overview:
4500 top, 4400 support into 8/20 OPEX.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4453 | 4456 | 445 | 15069 | 367 |
| SpotGamma Imp. 1 Day Move: | 0.49%, | 22.0 pts | Range: 4431.0 | 4475.0 | ||
| SpotGamma Imp. 5 Day Move: | 1.91% | 4417 (Monday Ref Px) | Range: 4333.0 | 4501.0 | ||
| SpotGamma Gamma Index™: | 2.65 | 2.05 | 0.34 | 0.05 | -0.03 |
| Volatility Trigger™: | 4420 | 4395 | 444 | 14770 | 366 |
| SpotGamma Absolute Gamma Strike: | 4450 | 4400 | 445 | 14775 | 368 |
| Gamma Notional(MM): | $772 | $851 | $1,288 | $6 | $-147 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4418 | 4407 | 0 | 0 | 0 |
| Put Wall Support: | 4200 | 4100 | 443 | 14000 | 365 |
| Call Wall Strike: | 4500 | 4500 | 445 | 14775 | 370 |
| CP Gam Tilt: | 1.74 | 1.52 | 1.29 | 1.42 | 0.92 |
| Delta Neutral Px: | 4235 | ||||
| Net Delta(MM): | $1,524,016 | $1,496,137 | $199,847 | $46,085 | $84,884 |
| 25D Risk Reversal | -0.07 | -0.07 | -0.06 | -0.06 | -0.05 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4500, 4450, 4425, 4400] |
| SPY: [445, 444, 443, 440] |
| QQQ: [370, 368, 365, 360] |
| NDX:[15250, 15000, 14775, 14450] |
| SPX Combo: [4454.0, 4494.0, 4468.0, 4463.0, 4472.0] |
| SPY Combo: [445.11, 449.12, 446.45, 446.0, 446.89] |
| NDX Combo: [15184.0, 14762.0, 14973.0, 14777.0, 15093.0] |
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