Futures have pushed back to highs of 4483. Gamma has rebuilt which provides a tighter 0.74% estimated move today. The Call Wall holds at 4500(SPX) /450 (SPY) which gives us a “band” of resistance in the 4500-4510 area. Support lies at 4456.
We remain of the opinion that the market will consolidate/grind under the 4500 area today. There was a bit of activity >4500 yesterday, but likely not enough to shift the center of gamma gravity higher. You can see below how prominent that 4500 strike is in SPX – and the bulk of that position is tied to Sep Monthly OPEX.
Our risk-reversal model marked -0.07 last night, which shows us that call prices increased vs puts yesterday (Friday nights reading was -0.09). At all time highs we would normally see that figure move to -0.05, so -0.07 does reflect a bit of “event volatility” remaining in SPX options prices. Again we highlight this pricing as its likely there isnt much volatility premium left for traders to sell today.
Since we view volatility selling as a major driver for equity prices (higher) then that leaves gamma strike positioning as the main player. As highlighted above the bulk of that positioning sits in the immediate price area for the S&P500 which is why we think the market will be “stuck” today.
Model Overview:
4500 top, 4450 support into 8/20 OPEX.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4483 | 4484 | 447 | 15339 | 373 |
| SpotGamma Imp. 1 Day Move: | 0.74%, | 33.0 pts | Range: 4450.0 | 4516.0 | ||
| SpotGamma Imp. 5 Day Move: | 3.0% | 4452 (Monday Ref Px) | Range: 4319.0 | 4586.0 | ||
| SpotGamma Gamma Index™: | 1.62 | -0.00 | 0.21 | 0.04 | -0.00 |
| Volatility Trigger™: | 4425 | 4420 | 440 | 14875 | 369 |
| SpotGamma Absolute Gamma Strike: | 4450 | 4450 | 440 | 14450 | 370 |
| Gamma Notional(MM): | $573 | $7 | $881 | $5 | $-24 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4445 | 4379 | 0 | 0 | 0 |
| Put Wall Support: | 4300 | 4000 | 435 | 14000 | 360 |
| Call Wall Strike: | 4500 | 5000 | 450 | 15075 | 375 |
| CP Gam Tilt: | 1.46 | 1.08 | 1.26 | 1.56 | 0.98 |
| Delta Neutral Px: | 4264 | ||||
| Net Delta(MM): | $1,532,220 | $233,596 | $196,349 | $44,488 | $79,827 |
| 25D Risk Reversal | -0.07 | -0.07 | -0.08 | -0.06 | -0.07 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4500, 4450, 4425, 4400] |
| SPY: [450, 448, 447, 440] |
| QQQ: [375, 370, 365, 360] |
| NDX:[15075, 15000, 14450, 14000] |
| SPX Combo: [4507.0, 4511.0, 4529.0, 4493.0, 4556.0] |
| SPY Combo: [449.5, 449.94, 451.73, 448.15, 454.42] |
| NDX Combo: [15108.0, 15430.0, 15630.0, 15461.0, 15553.0] |
