Futures were quiet overnight, currently 4460. We look for another day of decent volatility, with an SG Max move of 1.1%. Resistance remains at 4500 with support at 4452 and 4425.
As we discussed both last night and forecast in previous weeks, the reflexive bid that usually arrives on each and every dip has been absent these last few days. With gamma being quite flat and vol sellers skittish ahead of the FOMC, the fuel tank for a “V” recovery seems empty. In other words the usual gamma and vanna trades are not yet available.
The current position remains that if sellers arrive, that will invoke negative gamma and could start a strong selloff.
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: | 4475 | 4476 | 446 | 15439 | 376 |
| SpotGamma Imp. 1 Day Move: | 1.11%, | 50.0 pts | Range: 4425.0 | 4525.0 | ||
| SpotGamma Imp. 5 Day Move: | 4.55% | 4472 (Monday Ref Px) | Range: 4269.0 | 4676.0 | ||
| SpotGamma Gamma Index™: | 0.10 | -0.13 | -0.01 | 0.03 | -0.11 |
| Volatility Trigger™: | 4425 | 4415 | 448 | 15070 | 379 |
| SpotGamma Absolute Gamma Strike: | 4500 | 4500 | 450 | 15075 | 380 |
| Gamma Notional(MM): | $-63 | $-198 | $82 | $3 | $-522 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4476 | 4477 | 0 | 0 | 0 |
| Put Wall Support: | 4300 | 4300 | 430 | 15030 | 350 |
| Call Wall Strike: | 4500 | 4500 | 450 | 15075 | 385 |
| CP Gam Tilt: | 1.02 | 0.92 | 1.02 | 1.17 | 0.72 |
| Delta Neutral Px: | 4321 | ||||
| Net Delta(MM): | $1,687,408 | $1,694,403 | $218,076 | $53,361 | $97,961 |
| 25D Risk Reversal | -0.07 | -0.07 | -0.08 | -0.07 | -0.08 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4525, 4500, 4450, 4400] |
| SPY: [450, 448, 445, 440] |
| QQQ: [380, 375, 370, 365] |
| NDX:[15500, 15075, 15000, 14450] |
| SPX Combo: [4503.0, 4552.0, 4507.0, 4529.0, 4601.0] |
| SPY Combo: [449.71, 454.62, 450.15, 452.39, 459.53] |
| NDX Combo: [15086.0, 15796.0, 15179.0, 15379.0, 15673.0] |
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