Futures edged higher to 4543. As anticipated there is little change to our forecast for today, particularly ahead of a 3 day weekend here in the US (Monday is a trading holiday). We look for resistance at 4550SPX/455SPY, with support at 4525. There is a Jobs report at 8:30AM est which has the potential to create some volatility – but it would have to be a heavy outlier to break the gamma pin.
We note roughly 20% of SPX/SPY and QQQ gamma expiring on the close, which should serve to loosen markets up next week. This could help to further pin todays session up near the Call Wall. Note in the chart below that the light great area is what expires today, and that is position is most heavily distributed in the Call Wall area.
QQQ continues to hold a more volatile setup, with most of its todays gamma expiring around 380. This could create a bit of a squeeze into next week as negative gamma rolls off, and major overhead resistance into until 385.
Model Overview:
4500 support, 4550 resistance into 9/17 OPEX. VIX Exp 9/15 opens a window of weakness into 9/22 FOMC.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4541 | 4536 | 453 | 15618 | 380 |
| SpotGamma Imp. 1 Day Move: | 0.68%, | 31.0 pts | Range: 4510.0 | 4572.0 | ||
| SpotGamma Imp. 5 Day Move: | 1.85% | 4508 (Monday Ref Px) | Range: 4425.0 | 4592.0 | ||
| SpotGamma Gamma Index™: | 2.00 | 1.65 | 0.36 | 0.04 | -0.04 |
| Volatility Trigger™: | 4495 | 4415 | 449 | 14950 | 380 |
| SpotGamma Absolute Gamma Strike: | 4500 | 4500 | 450 | 14450 | 380 |
| Gamma Notional(MM): | $677 | $696 | $1,312 | $6 | $-262 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4467 | 4462 | 0 | 0 | 0 |
| Put Wall Support: | 4485 | 4000 | 445 | 15400 | 365 |
| Call Wall Strike: | 4550 | 4550 | 455 | 15075 | 385 |
| CP Gam Tilt: | 1.61 | 1.41 | 1.31 | 1.55 | 0.85 |
| Delta Neutral Px: | 4319 | ||||
| Net Delta(MM): | $1,305,728 | $1,628,101 | $229,092 | $51,886 | $94,016 |
| 25D Risk Reversal | -0.06 | -0.06 | -0.07 | -0.06 | -0.07 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4550, 4530, 4525, 4500] |
| SPY: [454, 453, 452, 450] |
| QQQ: [382, 380, 378, 375] |
| NDX:[16000, 15075, 15000, 14450] |
| SPX Combo: [4556.0, 4579.0, 4606.0, 4560.0, 4551.0] |
| SPY Combo: [454.55, 456.82, 459.53, 455.0, 454.1] |
| NDX Combo: [15804.0, 16007.0, 15679.0, 15757.0, 15523.0] |
