Futures are off slightly to 4135. We have seen a shift lower in the SPX Call Wall to 4150 SPX , which is a bearish signal. This implies that the SPX has heavier resistance at the 4150 area, and that the S&P will likely not break above 4160 (SPY 415) today. It also reduces the odds of break north of 4200 into Fridays OPEX. To the downside, key levels remain the same with support at 4110 (SPY 410) – 4100. A break of 4100 implies a rapid test of the 4060 level.
VIX expiration is this morning at 9AM, and while we expect little impact on the markets overall, be advised that there may be some strange /ES movement around that time.
Yesterdays CPI passed with little SPX action, and that has led to a “deflation” of SPX IV. This suggests the CPI did little to change current macro narratives. Traders are still pricing in some elevated volatility today due to retail sales at 8:30AM ET, but we are not assigning much action to the print.
We have been of the view that the market would hold the 4100-4200 range in through yesterday. We grow less confident in this 4100 line now starting with VIX expiration today, and Fridays monthly OPEX. Historically, we have looked for large SG levels to hold into OPEX, but there has been a trend in positive gamma expirations breaking lower before the OPEX day (aka OPEX front-running).
Additionally, with the current OPEX more weighted to calls we look for market consolidation of gains made over the last several weeks. This consolidation idea is further backed by the SPX Call Wall dropping to 4150.
If traders had a sharply bullish tone post-CPI we would have likely seen the Call Wall(s) holding 4200SPX/420SPY (SPY’s Call Wall held at 418), or shifting higher. This did not happen.
For today we would give edge to the market holding the 4100 – 4160 range, but we will be growing less confident of that 4100 support line. Overhead resistance up in the 4160-4200 should likely hold into Friday.
Overall OPEX should reduce the strength of the 4100 area gamma bars that have been pinning markets. In this case, we are giving edge to a break of 4100 and possible retest of the 4000 area for early next week due to the aforementioned OPEX dynamics. Note though, that we would likely read any weakness as “consolidation” more that a break of the bullish trend.
We discussed many of these dynamics in our OPEX Live call yesterday, you can watch the recording here.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4136 | 4141 | 412 | 12590 | 306 |
| SG Implied 1-Day Move:: | 1.0%, | (±pts): 41.0 | VIX 1 Day Impl. Move:1.18% | ||
| SG Implied 5-Day Move: | 2.76% | 4090 (Monday Ref Price) | Range: 3978.0 | 4203.0 | ||
| SpotGamma Gamma Index™: | 1.09 | 0.91 | -0.08 | 0.05 | 0.01 |
| Volatility Trigger™: | 4095 | 4060 | 409 | 12090 | 304 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 410 | 12500 | 310 |
| Gamma Notional(MM): | 305.0 | 317.0 | -585.0 | 6.0 | -12.0 |
| Put Wall: | 4000 | 3900 | 400 | 10500 | 290 |
| Call Wall : | 4150 | 4200 | 418 | 12500 | 310 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4091 | 4096 | 415.0 | 11835.0 | 316 |
| CP Gam Tilt: | 1.28 | 1.17 | 0.86 | 1.52 | 0.99 |
| Delta Neutral Px: | 4040 | ||||
| Net Delta(MM): | $1,644,798 | $1,674,890 | $180,778 | $53,955 | $98,909 |
| 25D Risk Reversal | -0.05 | -0.05 | -0.06 | -0.06 | -0.06 |
| Call Volume | 631,979 | 485,114 | 2,268,493 | 5,862 | 887,662 |
| Put Volume | 1,192,898 | 860,789 | 3,345,033 | 9,263 | 1,322,215 |
| Call Open Interest | 5,962,527 | 6,107,413 | 6,316,411 | 59,114 | 4,736,339 |
| Put Open Interest | 11,462,136 | 11,027,610 | 14,896,299 | 69,997 | 8,809,345 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4200, 4150, 4100, 4000] |
| SPY: [420, 415, 410, 400] |
| QQQ: [310, 305, 300, 290] |
| NDX:[13000, 12650, 12500, 12000] |
| SPX Combo (strike, %ile): [(4301.0, 96.74), (4277.0, 87.27), (4252.0, 94.79), (4223.0, 92.05), (4210.0, 86.6), (4198.0, 98.18), (4190.0, 90.25), (4186.0, 76.19), (4182.0, 83.28), (4173.0, 97.27), (4169.0, 87.69), (4161.0, 91.12), (4148.0, 99.24), (4140.0, 87.95), (4124.0, 87.7), (4119.0, 75.09), (4099.0, 95.01), (4066.0, 86.25), (4049.0, 90.56), (4008.0, 82.06), (4000.0, 97.14), (3950.0, 89.74)] |
| SPY Combo: [413.88, 418.83, 416.35, 399.02, 429.15] |
| NDX Combo: [12729.0, 12931.0, 12314.0, 12503.0, 13132.0] |
