Futures are at 4533 after putting in fresh all time highs at 4548. Our SG implied range is at 0.73% suggesting a tight trading range today. While there was a decline in the SG gamma Index for SPX we point out that the gamma notional in SPY is 2x that of SPX ($1.1bn vs $525mm). This suggests prices around 4550SPX/454SPY (the Call Walls) are even stickier than the SG forecast.
Since the Call Wall did not shift higher we consider the S&P prices as capped (see here for fresh stats on the Call Wall). QQQ still shows a negative gamma position and so we look for higher relative volatility in Nasdaq. The QQQ Call wall remains at 385 which suggests some room to run.
The gamma flip indicators have now slid up to 4500. This level is critical for markets to hold this week as our models are bullish above that line, and bearish below. We’ve outlinedthe potential for high volatility next week, and its likely 4500 plays into that risk window, too.
Looking ahead, the major inflection points are shown below in the EquityHub snapshot. As 9/17 is now the major expiration we do not see this picture changing all that much. We view these major inflection points as support and resistance lines. Again, while we don’t anticipate major weakness this week we wanted to outline some “risk off” scenarios.
You can see that there are two points below: 4490 & 4400 which we’d view as support if selling manifests. Beneath 4440 however there is a gap down to 4250. Obviously there will be some shifting as we approach both expiration and the FOMC, but we highlight this “gap risk” as the thing to watch.
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: | 4539 | 4535 | 453 | 15680 | 381 |
| SpotGamma Imp. 1 Day Move: | 0.73%, | 33.0 pts | Range: 4506.0 | 4572.0 | ||
| SpotGamma Imp. 5 Day Move: | 2.29% | 4539 (Monday Ref Px) | Range: 4436.0 | 4644.0 | ||
| SpotGamma Gamma Index™: | 1.37 | 1.99 | 0.24 | 0.05 | -0.04 |
| Volatility Trigger™: | 4495 | 4495 | 449 | 14950 | 381 |
| SpotGamma Absolute Gamma Strike: | 4500 | 4500 | 450 | 15075 | 380 |
| Gamma Notional(MM): | $525 | $595 | $1,110 | $6 | $-185 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4498 | 4467 | 0 | 0 | 0 |
| Put Wall Support: | 4510 | 4000 | 445 | 15400 | 365 |
| Call Wall Strike: | 4550 | 4550 | 454 | 15075 | 385 |
| CP Gam Tilt: | 1.38 | 1.31 | 1.27 | 1.61 | 0.88 |
| Delta Neutral Px: | 4317 | ||||
| Net Delta(MM): | $1,641,843 | $1,649,570 | $224,544 | $52,867 | $92,839 |
| 25D Risk Reversal | -0.07 | -0.06 | -0.06 | -0.06 | -0.06 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4550, 4525, 4500, 4450] |
| SPY: [454, 453, 452, 450] |
| QQQ: [385, 382, 380, 370] |
| NDX:[16000, 15075, 15000, 14450] |
| SPX Combo: [4554.0, 4604.0, 4581.0, 4559.0, 4504.0] |
| SPY Combo: [454.44, 459.42, 457.16, 454.89, 449.46] |
| NDX Combo: [15831.0, 16035.0, 15784.0, 15627.0, 15957.0] |
