Futures are right back to 4135 after yet another quiet overnight session. There was a lot of OI added to the 4125 line which functions to lock down current price levels into tomorrow AM’s SPX expiration. At the 4125 open interest line, 27k calls and 25k puts were added yesterday. This “filled in” that box we’ve been highlighting for the past few days.
Macro Note:
4150 – 4100 range into 4/16 OPEX. We look for tight trading ranges and a pinning of the large 4150 or 4100 gamma lines.
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 4128 | 4122 | 411 | 13830 | 336 | ||
| VIX Ref: | 16.99 | 16.99 | |||||
| SG Gamma Index™: | 1.03 | 1.51 | 0.14 | -0.00 | -0.00 | ||
| Gamma Notional(MM): | $408 | $392 | $720 | $1 | $-26 | ||
| SGI Imp. 1 Day Move: | 0.63%, | 26.0 pts | Range: 4102.0 | 4154.0 | ||||
| SGI Imp. 5 Day Move: | 4106 | 1.38% | Range: 4050.0 | 4163.0 | ||||
| Zero Gamma Level(ES Px): | 4056 | 4051 | — | 0 | |||
| Vol Trigger™(ES Px): | 3995 | 3965 | 408 | 13890 | 336 | ||
| SG Abs. Gamma Strike: | 4100 | 4100 | 410 | 12850 | 330 | ||
| Put Wall Support: | 4080 | 4080 | 408 | 13500 | 290 | ||
| Call Wall Strike: | 4150 | 4150 | 415 | 14000 | 340 | ||
| CP Gam Tilt: | 1.37 | 1.28 | 1.23 | 1.06 | 0.98 | ||
| Delta Neutral Px: | 3897 | ||||||
| Net Delta(MM): | $1,328,588 | $1,321,050 | $192,058 | $43,909 | $79,175 | ||
| 25D Risk Reversal | -0.05 | -0.05 | -0.04 | -0.05 | -0.05 | ||
| Top Absolute Gamma Strikes: SPX: [4150, 4125, 4100, 4000] SPY: [415, 410, 409, 400] QQQ: [340, 337, 335, 330] NDX:[13900, 13800, 13500, 12850] SPX Combo: [4154.0, 4204.0, 4105.0, 4179.0, 4167.0] NDX Combo: [13986.0, 14194.0, 14041.0] The Volatility Trigger has moved UP: 3995 from: 3965 SPX resistance is: 4150. Support is: 4100 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $408MM from: $391.00MM Gamma is tilted towards Puts, may indicate puts are expensive Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
