Futures have drifted higher to 4535 after a quiet overnight session. We look for another tight trading range (73bps) with resistance at 4550 & 4564, and support at 4514. The Vol Trigger jumped higher to 4495 which we mark as a healthy signal. This indicates that some put hedges are filling in below current prices which provides support.
We note a fair amount of QQQ gamma expiring today (20%) with quiet S&P expiration. However Friday shows ~20% of SPX gamma expiring, with the bulk of that position at 380. This could be a “pin pull” for QQQ/Nasdaq which sets up a move to its 385 Call Wall area. As you can see below the vanna model shows a left skew which indicates a more volatile (movement up or down) setup. This is not huge, but indicates a decent move is possible.
There are really no signals to indicate short term weakness in this market. Gamma is high which doens’t materially change until 9/17 OPEX, and we see little volatility across assets. Meme stocks are threatening to break out (ex: AMC, PLTR, GME) and traders seem intrigued by Chinese tech (ex: KWEB, BABA) which indicates a risk appetite.
Model Overview:
4550 top, 4500 support into 9/17 OPEX.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4536 | 4527 | 451 | 15634 | 379 |
| SpotGamma Imp. 1 Day Move: | 0.73%, | 33.0 pts | Range: 4503.0 | 4569.0 | ||
| SpotGamma Imp. 5 Day Move: | 1.85% | 4508 (Monday Ref Px) | Range: 4425.0 | 4592.0 | ||
| SpotGamma Gamma Index™: | 1.49 | 1.93 | 0.14 | 0.04 | -0.01 |
| Volatility Trigger™: | 4495 | 4415 | 449 | 14875 | 379 |
| SpotGamma Absolute Gamma Strike: | 4500 | 4500 | 450 | 14450 | 380 |
| Gamma Notional(MM): | $635 | $751 | $769 | $6 | $-60 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4462 | 4454 | 0 | 0 | 0 |
| Put Wall Support: | 4000 | 4000 | 449 | 15400 | 365 |
| Call Wall Strike: | 4550 | 4550 | 455 | 15075 | 385 |
| CP Gam Tilt: | 1.41 | 1.43 | 1.18 | 1.68 | 0.96 |
| Delta Neutral Px: | 4282 | ||||
| Net Delta(MM): | $1,612,470 | $1,619,895 | $218,680 | $49,772 | $88,373 |
| 25D Risk Reversal | -0.07 | -0.07 | -0.07 | -0.06 | -0.06 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4550, 4525, 4500, 4450] |
| SPY: [452, 451, 450, 440] |
| QQQ: [380, 378, 375, 370] |
| NDX:[16000, 15075, 15000, 14450] |
| SPX Combo: [4564.0, 4514.0, 4573.0, 4591.0, 4614.0] |
| SPY Combo: [454.27, 449.3, 455.17, 456.98, 459.24] |
| NDX Combo: [15836.0, 15711.0, 15758.0, 15805.0, 15633.0] |
