Informe SG Levels

Futures pushed to new all time highs of 4542 before reverting back to yesterdays closing level of 4526. We look for another tight trading range today with an SG implied move of 66bps. The Call Wall for both SPX/SPY shifted higher to 4550/450 which confirms these higher S&P prices. We note major support at 4513 and 4500.

The Put Wall and gamma flip lines (zero gamma, vol trigger) did not budge yesterday which indicates that yesterdays action was primarily about calls rolling higher.  As you can see below in the open interest changes, there was a large tract of calls net closed <=4500 and rolled higher. This backs the idea that yesterday was a bit of a “short call squeeze”.

For today we see heavy resistance into 4550 as per the vanna model. The models do not see a material amount of gamma expiring today (~10-15%) which leads us to look for markets to consolidate in the 4500-4550 area for the next several sessions. We’d note once again that QQQ holds a more volatile position that the S&P.

Finally, we need to make a key correction to yesterdays note. We listed the FOMC as 9/16 but it is in fact on 9/22 (the week after OPEX). This lines up for markets to lose a substantial amount of gamma on Friday 9/17 into an event which will likely draw a lot of hedging. This produces a window for high volatility on into OPEX.

Model Overview:

4550 top, 4500 support into 9/17 OPEX.