A rather dull day in the SPX which closed +18bps, QQQ +87bps and RUT +115. The major 4194 Combo Strike quoted this morning served to cap things on a day with light SPX options volume. The VIX actually closed higher on the day to 17.64.
Model Overview:
4000 – 4200 range into May OPEX. Gamma is currently moderate, and we see fairly low volatility unless markets break the 4100 level.
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 4181 | 4168 | 417 | 14017 | 341 | ||
| VIX Ref: | 17.64 | 14 | |||||
| SG Gamma Index™: | 0.84 | 0.83 | -0.04 | 0.02 | -0.04 | ||
| Gamma Notional(MM): | $406 | $273 | $562 | $3 | $-124 | ||
| SGI Imp. 1 Day Move: | 1.0%, | 42.0 pts | Range: 4139.0 | 4223.0 | ||||
| SGI Imp. 5 Day Move: | 4168 | 1.83% | Range: 4092.0 | 4245.0 | ||||
| Zero Gamma Level(ES Px): | 4139 | 4131 | — | 0 | |||
| Vol Trigger™(ES Px): | 4095 | 4095 | 414 | 13450 | 338 | ||
| SG Abs. Gamma Strike: | 4150 | 4150 | 415 | 14025 | 330 | ||
| Put Wall Support: | 3900 | 3900 | 410 | 13375 | 325 | ||
| Call Wall Strike: | 4200 | 4200 | 422 | 14025 | 345 | ||
| CP Gam Tilt: | 1.34 | 1.21 | 1.19 | 1.4 | 0.89 | ||
| Delta Neutral Px: | 3946 | ||||||
| Net Delta(MM): | $1,240,262 | $1,236,554 | $183,717 | $39,509 | $72,470 | ||
| 25D Risk Reversal | -0.07 | -0.07 | -0.06 | -0.06 | -0.07 | ||
| Top Absolute Gamma Strikes: SPX: [4200, 4150, 4100, 4000] SPY: [420, 415, 410, 400] QQQ: [340, 335, 330, 325] NDX:[14025, 14000, 13750, 12850] SPX Combo: [4202.0, 4252.0, 4303.0, 4227.0, 4231.0] NDX Combo: [14106.0, 14246.0, 13839.0, 13629.0, 14050.0] SPX resistance is: 4200. Support is: 4150 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $405MM from: $273.00MM Gamma is tilted towards Puts, may indicate puts are expensive Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
