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Informe SG Levels

Sep 10, 2021 | 0 Comentarios

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]
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