Futures are off last nights close, down to 3670. Gamma levels have not shifted much, with 3650 key support and 3700 resistance. There was little activity at strikes >3700 which to us indicates the appetite for markets to shift higher isn’t yet there.
Realized volatility continues to come in as seen here, but the VIX continues to hold. Our SG implied move continues to forecast tighter trading ranges <=75bps. Essentially both realized vol and our SG data continue to suggest that markets have a fairly quiet week ahead of what are several catalysts next week.
Macro Note:
3600-3700
| SIGNAL NAME | LATEST DATA | PREVIOUS | SPY | NDX | QQQ | ||
|---|---|---|---|---|---|---|---|
| Ref Price: | 3668 | 3689 | 367 | 12553 | 307 | ||
| VIX Ref: | 22.05 | 21.3 | |||||
| SG Gamma Index™: | 1.01 | 0.98 | 0.25 | 0.01 | 0.02 | ||
| Gamma Notional(MM): | $302.00 | $477.00 | $1,233.00 | $2.00 | $89.00 | ||
| SGI Imp. 1 Day Move: | .68% | 25.0 pts | Range: 3631.0 | 3705.0 | ||||
| SGI Imp. 5 Day Move: | 3688 | 2.17% | Range: 3608.0 | 3769.0 | ||||
| Zero Gamma Level(ES Px): | 3605 | 3597 | — | 0 | |||
| Vol Trigger™(ES Px): | 3505 | 3505 | 361 | 11975 | 299 | ||
| SG Abs. Gamma Strike: | 3650 | 3600 | 370 | 12000 | 300 | ||
| Put Wall Support: | 3500 | 3500 | 340 | 10900 | 265 | ||
| Call Wall Strike: | 3700 | 3700 | 370 | 12000 | 310 | ||
| CP Gam Tilt: | 1.54 | 1.41 | 1.49 | 1.21 | 1.11 | ||
| Delta Neutral Px: | 3463 | ||||||
| Net Delta(MM): | $11,480.00 | $12,398.00 | $2,086.00 | $440.00 | $725.00 | ||
| 25D Risk Reversal | -0.07 | -0.07 | -0.08 | -0.06 | -0.06 | ||
| Top Absolute Gamma Strikes: SPX: [3700, 3650, 3625, 3600] SPY: [380, 370, 365, 360] QQQ: [310, 305, 300, 290] NDX:[12600, 12500, 12000, 10900] SPX Combo: [3675.0, 3726.0, 3627.0, 3701.0, 3649.0] NDX Combo: [12652.0] SPX resistance is: 3700. Support is: 3650 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $302.15MM from: $476.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
