Futures are flat to Fridays close after a quiet overnight session. We see support at 3611 (SPY 360) and 3600. Resistance shows at 3651 and 3700.
From our view, Fridays large decline simply unwound the short cover from earlier in the week. Rallies in this put-heavy market, as we often say, are fragile. The Put Walls have remained locked into 3600, and skew metrics are relatively unchanged. This suggests to us that the Friday jobs report did not renew any sense of fear as traders did not build up large put positions below.
The only level change of significance was at the 3700 strike. There was large interest added there on Friday (>40k calls, >20k puts), with total strike volume >200k. This adds to some resistance at 3700 into Wednesdays AM CPI.
One other thing from Friday. There was an interesting shape to skew for Fridays expiration, as shown below (this snapshot was from ~10AM ET). The 3620 strike held large put interest, and you can see there was a large kink in IV at that same strike (again, this is a snapshot of just 10/7 expiration). This lends to us the idea that dealers were long this downside, as generally you would see IV shifting higher as strikes go lower (i.e. to the left of the plot).
Interestingly the low of the day was 3621, giving us the distinct impression that a lot of Fridays flow was positional in nature.
We are still of the opinion that Wednesdays CPI report will trigger a larger directional move. There is some path dependency here, but we are looking for another ±5% move from CPI into 10/21 OPEX. As shown below IV for 10/13 expiration is well above that of 10/12 expiration due to CPI.
The 3600 Put Wall remains key support for today and likely into tomorrow. We think 3700 offers resistance now, too (vs no resistance last week). We have no idea if the CPI will be read as positive/negative by markets, but we do feel that there will be an opportunity to ride the direction triggered from the CPI headline. Because CPI contains this elevated event-vol we believe it is going to spark a feedback loop, wherein dealers come in and reinforce the markets trend which is further bolstered by sizeable Oct OPEX positions.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 3640 | 3639 | 362 | 11039 | 269 |
| SG Implied 1-Day Move:: | 1.27%, | (±pts): 46.0 | VIX 1 Day Impl. Move:1.97% | ||
| SG Implied 5-Day Move: | 3.08% | 3640 (Monday Ref Price) | Range: 3528.0 | 3753.0 | ||
| SpotGamma Gamma Index™: | -1.70 | -1.09 | -0.40 | -0.01 | -0.11 |
| Volatility Trigger™: | 3800 | 3800 | 394 | 11525 | 290 |
| SpotGamma Absolute Gamma Strike: | 3700 | 4000 | 360 | 11750 | 270 |
| Gamma Notional(MM): | -1001.0 | -1135.0 | -2220.0 | -2.0 | -848.0 |
| Put Wall: | 3600 | 3600 | 360 | 11000 | 265 |
| Call Wall : | 3835 | 3835 | 420 | 11750 | 315 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 3918 | 3917 | 393.0 | 11279.0 | 312 |
| CP Gam Tilt: | 0.52 | 0.45 | 0.43 | 0.79 | 0.5 |
| Delta Neutral Px: | 3951 | ||||
| Net Delta(MM): | $1,703,243 | $1,631,679 | $217,284 | $48,863 | $105,402 |
| 25D Risk Reversal | -0.07 | -0.07 | -0.07 | -0.07 | -0.07 |
| Call Volume | 898,763 | 483,165 | 2,304,462 | 10,507 | 1,019,468 |
| Put Volume | 1,002,527 | 737,312 | 3,446,544 | 14,223 | 1,092,869 |
| Call Open Interest | 6,423,128 | 6,328,454 | 8,007,538 | 61,044 | 4,728,754 |
| Put Open Interest | 11,079,083 | 11,113,377 | 13,275,486 | 84,762 | 6,765,771 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4000, 3700, 3650, 3600] |
| SPY: [370, 365, 360, 350] |
| QQQ: [290, 280, 270, 265] |
| NDX:[12500, 12000, 11750, 11500] |
| SPX Combo (strike, %ile): [(3801.0, 74.82), (3750.0, 79.03), (3702.0, 88.64), (3651.0, 91.96), (3626.0, 78.6), (3611.0, 88.24), (3600.0, 97.68), (3575.0, 81.11), (3564.0, 82.83), (3549.0, 94.09), (3524.0, 82.61), (3513.0, 83.34), (3502.0, 97.07)] |
| SPY Combo: [358.8, 349.0, 353.72, 363.88, 368.96] |
| NDX Combo: [10874.0, 11073.0, 10664.0, 11492.0, 10995.0] |
