Futures have jumped higher to 4000, which is major resistance. Resistance above is at 4015 (SPY 400), then 4030 (SPY 402 Call Wall). Support below lies at 3975, then 3950.
We favor 0DTE flow to come in and lock down price with 1% of 4000 for today.
Yesterdays probe lower was indeed met with strong positive delta buying off of the market open, and finished off with dovish comments from Fed Bostic. The result is that futures have been pulled up into 4000, which is the long term pivot/equilibrium point.
This recovery is leading to a dump in implied vols, with the VIX, for example, now at 2 week/post-OPEX lows. While IV was slow do build on the way down, it was sold quickly which adds a tailwind to equity prices.
Further, yesterday exhibited increases in open interest at the 400SPY/4000SPX strike, increasing the gamma size at that level. This level is where buyers need to step up with conviction, as we believe 400/4000 should now become a short term resistance point.
With the market pushing back toward 4000, we see lower risks of an immediate tail-type move down (contrary to what we saw yesterday). This is the result of hedging flows + 0DTE which should suppress volatility – not only to the downside, but upside as well.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Reference Price: | 3981 | 3981 | 397 | 12044 | 293 |
| SG Implied 1-Day Move: | 0.9%, | (±pts): 36.0 | VIX 1 Day Impl. Move:1.23% | ||
| SG Implied 5-Day Move: | 2.7% | 3970 (Monday Reference Price) | Range: 3863.0 | 4077.0 | ||
| SpotGamma Gamma Index™: | -0.42 | -1.14 | -0.39 | 0.03 | -0.10 |
| Volatility Trigger™: | 3975 | 4000 | 398 | 11840 | 294 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 400 | 12300 | 290 |
| Gamma Notional (MM): | -310.0 | -310.0 | -1994.0 | 6.0 | -682.0 |
| Call Wall: | 4200 | 4200 | 402 | 12300 | 310 |
| Put Wall: | 3900 | 3900 | 390 | 11000 | 290 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 3993 | 3993 | 406.0 | 11489.0 | 305 |
| Gamma Tilt: | 0.92 | 0.88 | 0.63 | 1.42 | 0.69 |
| Delta Neutral Px: | 3978 | ||||
| Net Delta (MM): | $1,579,384 | $1,580,510 | $188,423 | $50,761 | $98,600 |
| 25 Day Risk Reversal: | -0.05 | -0.05 | -0.05 | -0.05 | -0.05 |
| Call Volume: | 603,091 | 572,933 | 2,308,596 | 9,664 | 797,035 |
| Put Volume: | 944,874 | 896,211 | 3,442,767 | 8,596 | 1,148,986 |
| Call Open Interest: | 6,247,945 | 6,195,909 | 6,748,534 | 63,403 | 5,029,142 |
| Put Open Interest: | 11,211,174 | 11,020,245 | 13,735,169 | 64,897 | 8,584,829 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4050, 4000, 3950, 3900] |
| SPY: [400, 398, 397, 395] |
| QQQ: [300, 295, 290, 285] |
| NDX: [13000, 12300, 12000, 11500] |
| SPX Combo (Strike, Percentile): [(4176.0, 75.57), (4149.0, 87.9), (4101.0, 84.79), (4077.0, 76.85), (4065.0, 91.52), (4049.0, 83.21), (4045.0, 75.31), (4029.0, 85.13), (4025.0, 91.62), (4013.0, 77.69), (4005.0, 78.7), (3973.0, 78.8), (3953.0, 85.82), (3949.0, 94.78), (3946.0, 81.29), (3934.0, 84.04), (3926.0, 94.29), (3914.0, 81.8), (3906.0, 92.07), (3902.0, 97.81), (3894.0, 74.86), (3886.0, 77.43), (3874.0, 85.84), (3854.0, 85.65), (3850.0, 92.03), (3826.0, 79.25), (3806.0, 80.54), (3798.0, 96.12)] |
| SPY Combo: [389.85, 379.51, 394.63, 392.24, 390.25] |
| NDX Combo: [12298.0, 11696.0, 11491.0, 11900.0, 11816.0] |
