Futures are flat to Friday’s close at 3950. Key SG levels remain largely unchanged post-OPEX:
For today, resistance is at 3950, followed by 4000. Support shows at 3900, then 3860 (SPY 385). We anticipate markets holding a relatively tight trading range in inside of 3900-3950.
While our key levels remain largely the same, the gamma at these key strikes reduced. Additionally, the main options forces which buoyed markets have dissipated: vanna (large IV reduction Thurs/Fri), & charm (heavy put decay into Friday).
Traders are now awaiting Wednesday’s FOMC, and major options levels are unlikely to change until then. With FOMC obviously comes a large shift in implied volatility, and new options positioning. Out of FOMC we continue to eye the 4065 JPM collar call strike as a major upside resistance level into the 3/31. The downside target is not quite as clear, but we highlight 3800 as longer term, large OI support.
There is one possible pre-FOMC rally catalyst here in that of the 9AM ET Wednesday AM VIX expiration. In 2022 there were a few situations (see note from April) wherein the market inexplicably rallied on the Tuesday prior to VIX expiration. The base line of thinking is that there could be an incentive for some large traders to push the VIX Index <25 prior to expiration. The mechanisms to do that (VIX futures, S&P options) could result in a tailwind for equities.
Typically we do not watch for VIX expiration to be terribly impactful, but the current VIX positioning looks very much like that of April & May (click links to see charts) wherein we saw these odd, but strong +1% equity rallies.
For example, shown here is the VIX vs ES futures into 5/18 May expiration. You can very clearly see how the VIX dropped sharply into that VIX 9AM ET Wednesday OPEX, and ES futures rallied. Today, the VIX is is lower (26.5 vs 30 in May) but the large VIX open interest at in-the-money strikes is similar.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Reference Price: | 3916 | 3918 | 389 | 12519 | 305 |
| SG Implied 1-Day Move: | 0.79%, | (±pts): 31.0 | VIX 1 Day Impl. Move:1.61% | ||
| SG Implied 5-Day Move: | 2.16% | 3916 (Monday Reference Price) | Range: 3832.0 | 4001.0 | ||
| SpotGamma Gamma Index™: | -0.97 | -0.32 | -0.38 | 0.02 | -0.01 |
| Volatility Trigger™: | 3950 | 3950 | 394 | 11975 | 302 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 390 | 12525 | 300 |
| Gamma Notional (MM): | -518.0 | -595.0 | -1836.0 | 3.0 | -66.0 |
| Call Wall: | 4065 | 4065 | 402 | 12525 | 310 |
| Put Wall: | 3800 | 3800 | 380 | 11000 | 285 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4023 | 4045 | 404.0 | 11622.0 | 345 |
| Gamma Tilt: | 0.73 | 0.81 | 0.52 | 1.44 | 0.95 |
| Delta Neutral Px: | 3943 | ||||
| Net Delta (MM): | $1,234,128 | $1,685,869 | $179,223 | $40,931 | $93,939 |
| 25 Day Risk Reversal: | -0.05 | -0.05 | -0.05 | -0.05 | -0.06 |
| Call Volume: | 529,838 | 824,421 | 2,146,405 | 17,726 | 743,905 |
| Put Volume: | 1,040,418 | 1,266,411 | 2,849,682 | 7,928 | 1,265,542 |
| Call Open Interest: | 5,146,961 | 6,815,944 | 5,831,975 | 47,134 | 4,241,097 |
| Put Open Interest: | 9,759,522 | 12,367,768 | 12,031,509 | 49,813 | 7,565,857 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4000, 3950, 3900, 3800] |
| SPY: [400, 395, 390, 385] |
| QQQ: [310, 305, 300, 290] |
| NDX: [13000, 12525, 12000, 11000] |
| SPX Combo (Strike, Percentile): [(4101.0, 80.77), (4073.0, 77.75), (4065.0, 89.31), (4050.0, 81.94), (4030.0, 76.41), (3952.0, 83.45), (3917.0, 82.67), (3901.0, 94.07), (3874.0, 80.47), (3866.0, 82.84), (3850.0, 94.37), (3827.0, 80.75), (3815.0, 84.51), (3799.0, 97.7), (3776.0, 84.67), (3764.0, 80.75), (3748.0, 93.33)] |
| SPY Combo: [378.29, 383.36, 388.43, 373.22, 404.81] |
| NDX Combo: [12520.0, 12708.0, 13121.0, 12921.0] |
