Very little movement from futures overnight, which are flat to last nights close at 4120. Gamma has reduced a bit, with 4100 remaining the large strike. The SPX Call Wall shifts to 4150 which is our major resistance line into Friday, with 4100 remaining critical support.
For today our models look for another low volatility day, with a 27pt estimated range. There is a large Combo Strike resistance line at 4139 and first support at 4114. As we tick toward Fridays large OPEX we think this range (4100-4150) continues to hold, and will likely “release” into next week.
Realized volatility is now approaching levels which have been a lower bound, and this (realized vol hitting a floor) would support the idea of volatility expansion into next week.
Macro Note:
4150 resistance and 4000 support into April OPEX. Gamma is large and positive, which implies low volatility and a tailwind for equities.
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 4117 | 4122 | 411 | 13785 | 336 | ||
| VIX Ref: | 16.91 | 16.91 | |||||
| SG Gamma Index™: | 1.40 | 1.44 | 0.19 | 0.02 | 0.02 | ||
| Gamma Notional(MM): | $490 | $628 | $815 | $1 | $80 | ||
| SGI Imp. 1 Day Move: | 0.66%, | 27.0 pts | Range: 4090.0 | 4144.0 | ||||
| SGI Imp. 5 Day Move: | 4106 | 1.38% | Range: 4050.0 | 4163.0 | ||||
| Zero Gamma Level(ES Px): | 4015 | 4020 | — | 0 | |||
| Vol Trigger™(ES Px): | 3965 | 3965 | 408 | 13600 | 329 | ||
| SG Abs. Gamma Strike: | 4100 | 4100 | 410 | 12850 | 330 | ||
| Put Wall Support: | 4080 | 4080 | 411 | 13500 | 290 | ||
| Call Wall Strike: | 4150 | 4100 | 410 | 14000 | 340 | ||
| CP Gam Tilt: | 1.65 | 1.59 | 1.31 | 1.1 | 1.08 | ||
| Delta Neutral Px: | 3886 | ||||||
| Net Delta(MM): | $1,288,789 | $1,078,287 | $170,846 | $42,150 | $75,385 | ||
| 25D Risk Reversal | -0.05 | -0.06 | -0.05 | -0.05 | -0.05 | ||
| Top Absolute Gamma Strikes: SPX: [4150, 4100, 4075, 4000] SPY: [411, 410, 409, 400] QQQ: [340, 335, 330, 320] NDX:[13800, 13750, 13500, 12850] SPX Combo: [4139.0, 4090.0, 4189.0, 4114.0, 4151.0] NDX Combo: [13927.0, 13720.0, 13844.0, 13968.0, 14133.0] The Call Wall has moved to: 4150 from: 4100 SPX resistance is: 4150. Support is: 4100 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $490MM from: $627.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
