Futures pushed higher overnight to 3880. Support is at 3854, with the Call Wall at 3900 and a very large Combo resistance bar at 3905. Now that markets pushed into the 3850-3900 range, positive gamma has increased in the S&P complex has to fairly robust $1.5bn. As a result the SG implied range is ~85bps for the day, down sharply from >1% readings earlier this week.
This gamma reading is a rare high for the post-Covid era as indicated below (orange dots last 30 days).
Notional gamma levels in SPX have remained muted as a function of higher implied volatility. Just as the VIX 20 has been a floor, this ~1.5 SG Index reading has been a ceiling. It would be quite a bullish sign if those levels break as the SG index could push into the 2’s (right side of above chart) which forecasts less future volatility.
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Macro Note:
3700-3900 into Feb OPEX
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3877 | 3864 | 387 | 13608 | 330 | ||
| VIX Ref: | 21.77 | 21.77 | |||||
| SG Gamma Index™: | 1.45 | 0.67 | 0.17 | 0.03 | 0.00 | ||
| Gamma Notional(MM): | $541 | $395 | $960 | $5 | $23 | ||
| SGI Imp. 1 Day Move: | 0.86%, | 33.0 pts | Range: 3844.0 | 3910.0 | ||||
| SGI Imp. 5 Day Move: | 3743 | 1.59% | Range: 3683.0 | 3803.0 | ||||
| Zero Gamma Level(ES Px): | 3809 | 3797 | — | 0 | |||
| Vol Trigger™(ES Px): | 3785 | 3785 | 384 | 12800 | 328 | ||
| SG Abs. Gamma Strike: | 3800 | 3800 | 385 | 12800 | 330 | ||
| Put Wall Support: | 3550 | 3600 | 370 | 12800 | 327 | ||
| Call Wall Strike: | 3900 | 3900 | 388 | 12825 | 330 | ||
| CP Gam Tilt: | 1.68 | 1.34 | 1.32 | 1.78 | 1.02 | ||
| Delta Neutral Px: | 3659 | ||||||
| Net Delta(MM): | $1,188,786 | $1,160,118 | $197,993 | $38,882 | $73,099 | ||
| 25D Risk Reversal | -0.08 | -0.08 | -0.07 | -0.06 | -0.07 | ||
| Top Absolute Gamma Strikes: SPX: [3900, 3850, 3800, 3700] SPY: [388, 385, 383, 380] QQQ: [330, 327, 325, 320] NDX:[13500, 13000, 12825, 12800] SPX Combo: [3905.0, 3881.0, 3897.0, 3854.0, 3932.0] NDX Combo: [13802.0, 13597.0, 13475.0, 13679.0, 13720.0] The PutWall has moved to: 3550 from: 3600 SPX resistance is: 3900. Support is: 3800 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $541MM from: $394.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
