Futures put in an overnight low of 4480 before recovering to 4500 – this gives an implied SPX open of just over 4500. Our models are showing a large decrease in gamma across the S&P500 (SPX/SPY) which forecasts a larger move today. This doesn’t mean that a large >1% move materializes, but it has a higher probability than the last few days.
4500 is the key level, with resistance at 4515 (452 SPY). 4500 is our gamma flip point and bullish/bearish market. Odds are we stick to the >4500-4510 area, but there is less fuel for dip buying here on a break of 4490 (see 2nd chart below).
The vanna model is still rather neutral which indicates that the implied volatility impact is more muted today. This expiration does not present that large of a position, which is another reason the 4500-4510 gamma magnet a bit less sticky.
If things do break lower we think the downside is contained to the 4460 area, as per our equityhub model (explainer here).
Updated Futures Files Links
For our Advanced and Pro members – futures files links (Bookmap, Ninja, etc) have been updated for DEC futures. Please go here: http://spotgamma.com/portal/ and select your trading system to get these new links.
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: | 4510 | 4489 | 448 | 15615 | 379 |
| SpotGamma Imp. 1 Day Move: | 1.56%, | 70.0 pts | Range: 4440.0 | 4580.0 | ||
| SpotGamma Imp. 5 Day Move: | 2.29% | 4539 (Monday Ref Px) | Range: 4436.0 | 4644.0 | ||
| SpotGamma Gamma Index™: | -0.54 | 0.98 | -0.23 | 0.03 | -0.16 |
| Volatility Trigger™: | 4515 | 4495 | 449 | 15070 | 381 |
| SpotGamma Absolute Gamma Strike: | 4500 | 4525 | 450 | 15075 | 380 |
| Gamma Notional(MM): | $145 | $-107 | $321 | $4 | $-509 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4501 | 4480 | 0 | 0 | 0 |
| Put Wall Support: | 4480 | 4300 | 448 | 14000 | 378 |
| Call Wall Strike: | 4550 | 4550 | 450 | 15075 | 390 |
| CP Gam Tilt: | 0.9 | 0.95 | 1.07 | 1.35 | 0.74 |
| Delta Neutral Px: | 4322 | ||||
| Net Delta(MM): | $1,650,640 | $1,639,649 | $216,049 | $54,706 | $95,929 |
| 25D Risk Reversal | -0.09 | -0.08 | -0.09 | -0.08 | -0.09 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4525, 4500, 4450, 4400] |
| SPY: [450, 448, 445, 440] |
| QQQ: [380, 378, 375, 370] |
| NDX:[15500, 15075, 15000, 14450] |
| SPX Combo: [4570.0, 4619.0, 4592.0, 4470.0, 4502.0] |
| SPY Combo: [454.82, 459.76, 457.06, 444.94, 448.08] |
| NDX Combo: [16061.0, 15639.0, 15561.0, 15858.0, 15233.0] |
