Informe SG Levels

We apologize for being tardy with todays note and appreciate how import on-time analytics are. Unfortunately our raw data was corrupted which forced us to re-run our models.

Futures overnight did test the gamma flip lines, putting in a low of 4585. There was a sharp bounce off of that line, returning back to 4510. Gamma has reduced, but remains strongly positive which indicates a tight trading range today. We mark heavy resistance at 4525, with support at 4495.

There are two key shifts that happened overnight. One, the largest gamma strike shifted to 4525 from 4500. Second, the SPY Call Wall shifted lower to 452 (from 455). This infers that the center of gamma-gravity has locked in at somewhat lower levels.

This presents an interesting “neutral” stance in our vanna models wherein the 4525/452 area is “fair value” for the models. We see only a small amount of gamma rolling off with tomorrows expiration, and so we do not think this picture changes into next week.

We’ve written a rather extensive piece on our view of the “reflexive short-vol unwind” here. Many of you will be familiar with this concept from our notes over the past several months, but it more concisely lays out the risks going into next week.

Model Overview:

4500 support, 4550 resistance into 9/17 OPEX. VIX Exp 9/15 opens a window of weakness into 9/22 FOMC.