Futures are higher to 3989. 4000 is primary resistance today, as it is the largest SPX gamma strike. We also note large gamma at 3985, and 3962. To the downside, 390 SPY (3010 SPX) is the largest SPY gamma strike, and primary support. With that, 3950 is the pivot line, and we anticipate the S&P moving to either 4000 or 3900 and sticking over the next 1-2 sessions.
On net, the options market seems to have taken a fairly neutral stance out of the FOMC. Shown below is the SPX term structure, and as you can see term structure is flat to one week ago, but remains above that of early March (pre-banking crisis).
FOMC guidance also led to a sharp decline in the MOVE Index, which suggests more stability in rates going forward.
Open interest changes were quite light, with an increase of only ~30k each for calls & puts in the S&P. While put flow seemed to be somewhat mixed between buyers and sellers, we saw what looked like consistent call selling at strikes from 4050-4100. This supports the notion that if markets stage a rally, that 4065 JPM collar call strike should be a significant resistance area into 3/31 (lots of long dealer gamma in that 4050-4100 range).
Where traders did seem to be a bit more negative, was in tech. As the Nasdaq has sharply outperformed over the last several weeks, it has stretched above its largest gamma strike of 300, and rejected off of its 315 Call Wall yesterday. Further, it looked like traders chose to sell calls in the 315 to 320 range. Ultimately this signals to us that QQQ is in need of “rebasing” and relative consolidation.
Generally we think IV is fairly valued based on realized. Skew has come down from highs seen over the last several weeks, but realized volatility is elevated due to the bank crisis. If the S&P can push over 4000, market volatility should stall out, and IV should come down.
Because we are of the view that flows around the VIX expiration was a key driver of Monday & Tuesdays rally (and IV squash, read here), the afternoon “reset” of SPX/VIX levels did not seem unwarranted. If anything it generated some breathing room between market prices and our key resistance level of 4065, into that key 3/31 date.
Looking forward we see little reason to adjust from the price map we laid out several days ago. A move above 4000 likely signals a test and pin of 4065. 3900-4000 remains a neutral zone, wherein we have less conviction. A break of 3900 implies a test of 3850, with the 3800 Put Wall serving as our ultimate low.
|SpotGamma Proprietary SPX Levels||Latest Data||SPX Previous||SPY||NDX||QQQ|
|SG Implied 1-Day Move:||1.16%,||(±pts): 46.0||VIX 1 Day Impl. Move:1.4%|
|SG Implied 5-Day Move:||2.16%||3916 (Monday Reference Price)||Range: 3832.0 | 4001.0|
|SpotGamma Gamma Index™:||-1.09||-0.0||-0.43||0.03||-0.05|
|SpotGamma Absolute Gamma Strike:||4000||4000||390||12525||300|
|Gamma Notional (MM):||-79.0||-293.0||-1997.0||4.0||-230.0|
|Additional Key Levels||Latest Data||Previous||SPY||NDX||QQQ|
|Zero Gamma Level:||4043||4048||403.0||11664.0||347|
|Delta Neutral Px:||3963|
|Net Delta (MM):||$1,252,640||$1,241,453||$184,491||$42,120||$98,132|
|25 Day Risk Reversal:||-0.05||-0.04||-0.05||-0.05||-0.05|
|Call Open Interest:||5,294,249||5,318,842||6,362,238||48,783||4,579,531|
|Put Open Interest:||10,249,628||10,079,538||12,928,606||52,673||8,065,371|
|Key Support & Resistance Strikes:|
|SPX: [4100, 4000, 3950, 3900]|
|SPY: [400, 395, 390, 385]|
|QQQ: [310, 305, 300, 290]|
|NDX: [13000, 12525, 12500, 12000]|
|SPX Combo (Strike, Percentile): [(4161.0, 88.96), (4137.0, 81.81), (4129.0, 92.1), (4113.0, 83.16), (4009.0, 93.11), (4005.0, 76.12), (3985.0, 82.06), (3977.0, 87.82), (3961.0, 96.99), (3933.0, 81.48), (3925.0, 86.56), (3909.0, 94.24), (3885.0, 86.15), (3873.0, 88.21), (3857.0, 97.99), (3833.0, 83.31), (3821.0, 79.7), (3809.0, 92.94)]|
|SPY Combo: [378.41, 388.6, 383.5, 393.31, 373.7]|
|NDX Combo: [12527.0, 13130.0, 12929.0, 12314.0, 12728.0]|