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Informe SG Levels

Ago 23, 2021 | 0 Comentarios

Futures have pushed a bit higher to 4450. There is a lower amount of gamma in markets, which pushes our 1 day implied move to 1.1%.  We see resistance at 4486 & 4509 with support at 4425 & 4400. Bulls maintain control as long as markets hold 4400.

If we do see a rally, our models do not anticipate a break of the 4500/450 Call Wall before Friday. As you can see in the chart of SPY below, there is a real lack of size built up over 450 which is why we see that line capping markets. A push higher in markets to that 4500 area would likely invoke enough gamma to lock down volatility and drift into Friday.

Any move lower would tick volatility higher as gamma deteriorates rapidly under 4425. A move lower, particularly early in the week leaves the door open for a decent drawdown. We think volatility sellers would be a bit more cautious this week, likely due to Jackson Hole which starts Thursday. As a result of these meetings we still expect implied volatility to hold some premium into this weekend, and keep volatility a bit higher this week.

Looking forward we would anticipate this volatility bid dropping next week which may help markets stage a bit higher. Markets then shift to a highly anticipated Sep FOMC meeting which lines up with a large quarterly OPEX.

Model Overview:

4500 top, 4400 support into 8/20 OPEX.

SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ
Ref Price: 4452 4438 443 15134 367
SpotGamma Imp. 1 Day Move: 1.1%, 49.0 pts Range: 4403.0 | 4501.0
SpotGamma Imp. 5 Day Move: 3.0% 4452 (Monday Ref Px) Range: 4319.0 | 4586.0
SpotGamma Gamma Index™: 0.52 0.30 0.10 0.03 -0.04
Volatility Trigger™: 4425 4395 441 14725 366
SpotGamma Absolute Gamma Strike: 4400 4400 440 14450 370
Gamma Notional(MM): $410 $152 $542 $4 $-185
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4414 4420 0 0 0
Put Wall Support: 4200 4200 435 14000 360
Call Wall Strike: 4500 4500 450 15075 370
CP Gam Tilt: 1.14 1.07 1.16 1.36 0.86
Delta Neutral Px: 4266
Net Delta(MM): $1,467,147 $1,625,063 $190,494 $42,121 $78,546
25D Risk Reversal -0.09 -0.07 -0.08 -0.07 -0.08
Top Absolute Gamma Strikes:
SPX: [4500, 4450, 4425, 4400]
SPY: [450, 445, 444, 440]
QQQ: [370, 368, 365, 360]
NDX:[15075, 15000, 14450, 14000]
SPX Combo: [4509.0, 4486.0, 4460.0, 4518.0, 4558.0]
SPY Combo: [449.12, 446.91, 444.25, 450.01, 454.0]
NDX Combo: [15226.0, 14817.0, 15120.0, 15437.0, 14893.0]
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