Futures are up some to 3615. Resistance shows at 3606 and 3654. Support shows at 3553 (SPY 355). We look for lower levels of volatility today, after put positions were removed on Friday.
We believe that the expiration of large put positions can be turning points for market rallies. For this reason, we have been suggesting traders look at call positions to benefit from a rally into this week. The fuel for this rally would come from short delta covering (dealers now have fewer puts to hedge) and a decline in implied volatility. We do not have any significant resistance points until 3800 (Vol Trigger).
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 3589 | 3597 | 357 | 10971 | 267 |
| SG Implied 1-Day Move:: | 1.09%, | (±pts): 39.0 | VIX 1 Day Impl. Move:2.1% | ||
| SG Implied 5-Day Move: | 3.08% | 3589 (Monday Ref Price) | Range: 3479.0 | 3700.0 | ||
| SpotGamma Gamma Index™: | -1.85 | -1.91 | -0.38 | -0.02 | -0.12 |
| Volatility Trigger™: | 3800 | 4000 | 380 | 11725 | 290 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 350 | 11750 | 270 |
| Gamma Notional(MM): | -1015.0 | -1205.0 | -2069.0 | -2.0 | -849.0 |
| Put Wall: | 3500 | 3600 | 350 | 9200 | 265 |
| Call Wall : | 3835 | 4400 | 363 | 11750 | 288 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 3952 | 3901 | 390.0 | 11294.0 | 310 |
| CP Gam Tilt: | 0.43 | 0.39 | 0.41 | 0.78 | 0.44 |
| Delta Neutral Px: | 3926 | ||||
| Net Delta(MM): | $1,536,992 | $1,584,352 | $201,129 | $37,625 | $98,956 |
| 25D Risk Reversal | -0.06 | -0.07 | -0.05 | -0.06 | -0.06 |
| Call Volume | 586,991 | 615,379 | 2,491,931 | 7,475 | 893,387 |
| Put Volume | 982,018 | 971,006 | 3,179,633 | 6,585 | 1,116,000 |
| Call Open Interest | 5,872,495 | 6,060,790 | 7,849,709 | 57,145 | 4,439,747 |
| Put Open Interest | 10,055,128 | 10,712,106 | 11,479,178 | 66,348 | 6,268,272 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4000, 3700, 3600, 3500] |
| SPY: [370, 360, 355, 350] |
| QQQ: [290, 280, 270, 265] |
| NDX:[12000, 11750, 9200, 9175] |
| SPX Combo (strike, %ile): [(3654.0, 90.42), (3626.0, 78.44), (3618.0, 80.73), (3604.0, 97.99), (3568.0, 83.65), (3554.0, 92.61), (3529.0, 81.49), (3518.0, 87.21), (3504.0, 98.03)] |
| SPY Combo: [348.61, 358.61, 353.61, 363.61, 350.04] |
| NDX Combo: [10883.0, 11081.0, 10675.0, 11004.0, 11289.0] |
