Macro Theme:
Major Resistance: $4,150 – $4,160 (SPY $415)
Pivot Level: $4,100
Major Support: $4,000
Range High: $4,200 Call Wall
Range Low: $3,900 Put Wall
‣ IV lows coincide with the $4,200 Call Wall to create $4,150-$4,200 area resistance into May OPEX
‣ A break of 4100 is “risk off”, likely invoking a test of $4,000
‣ Equities may enter a “window of weakness” starting with 5/17 VIX & 5/19 OPEX
Founder’s Note:
Futures are back to 4165, which implies a cash opening near 4150-4160 (SPY 415) resistance. Resistance above that level sits with the 4200 Call Wall. To the downside we continue to mark SPY 412 (SPX 4130) as a key level, followed by major support at 4100. For today we anticipate volatility to remain muted, and price action to look similar to that of the last several sessions.
Very little has changed in market dynamics over the past several days – or even weeks. Volatility (both realized and implied) continues to be low, and any pop in IV is met with vol selling which supports equities. The big gamma pillars at 4100 & 4150 have grown in size, and contained the S&P price range.
Tech, particularly Mega-cap tech (and/or “AI”) continues to outperform, with regional banks getting crushed (KRE -5% this week, -40% since 3/1).
From an options perspective, there is nothing to change these dynamics until next weeks VIX exp/OPEX. While it is not a large OPEX for SPX, it is for SPX & QQQ. Below is the SPY concentration, and as you can see we are set to lose a large amount of SPY calls. The first order effect is to reduce the sizeable positions in the 4100-4150 which should allow volatility to increase. However, we generally mark call heavy expirations as triggering some consolidation/downside in equities.
Our outlook remains largely unchanged from the map we posted on 5/3. The upside currently remains capped by 4200, and downside risk is invoked on a break of 4100 and/or starting with next wees Wednesday VIX expiration.
If the Call Wall rolls higher than we are open to higher S&P prices. A roll higher is not currently in play.
From a downside perspective you have options positioned to drive really nasty move into June OPEX. A catalyst is of course needed, and obviously the debt ceiling remains a prominent one. Fortunately IV is at major lows which suggests that hedging downside here is more economical/easier to carry vs the past year.
SpotGamma Proprietary Levels |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
---|---|---|---|---|---|---|
Reference Price: |
$4130 |
$412 |
$13389 |
$326 |
$1744 |
$173 |
SpotGamma Implied 1-Day Move: |
0.85% |
0.85% |
|
|
|
|
SpotGamma Implied 5-Day Move: |
2.59% |
|
|
|
|
|
SpotGamma Volatility Trigger™: |
$4110 |
$411 |
$12890 |
$324 |
$1760 |
$175 |
Absolute Gamma Strike: |
$4000 |
$412 |
$12975 |
$320 |
$1800 |
$175 |
SpotGamma Call Wall: |
$4200 |
$420 |
$12975 |
$330 |
$1780 |
$178 |
SpotGamma Put Wall: |
$4000 |
$400 |
$13175 |
$310 |
$1600 |
$170 |
Additional Key Levels |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
---|---|---|---|---|---|---|
Zero Gamma Level: |
$4106 |
$414 |
$12387 |
$323 |
$1835 |
$182 |
Gamma Tilt: |
1.1 |
0.82 |
2 |
1.2 |
0.63 |
0.47 |
SpotGamma Gamma Index™: |
0.72 |
-0.22 |
0.07 |
0.06 |
-0.03 |
-0.11 |
Gamma Notional (MM): |
$5.1B |
$10B |
$32M |
$4.2B |
$155M |
$3.5B |
25 Day Risk Reversal: |
-0.07 |
-0.06 |
-0.06 |
-0.06 |
-0.05 |
-0.07 |
Call Volume: |
435K |
2.1M |
8.5K |
800K |
13K |
307K |
Put Volume: |
809K |
2.5M |
6.2K |
1M |
21K |
511K |
Call Open Interest: |
6.3M |
7.4M |
57K |
4.7M |
199K |
3.4M |
Put Open Interest: |
13M |
14M |
63K |
8.8M |
352K |
7.5M |
Key Support & Resistance Strikes |
---|
SPX Levels: [4200, 4150, 4100, 4000] |
SPY Levels: [415, 412, 410, 400] |
NDX Levels: [14000, 13300, 13000, 12975] |
QQQ Levels: [330, 325, 322, 320] |
SPX Combos: [(4325,80.42), (4321,88.86), (4300,97.58), (4275,88.12), (4259,80.97), (4250,95.77), (4230,77.57), (4226,90.99), (4221,86.48), (4209,90.86), (4205,78.72), (4201,99.20), (4188,94.43), (4184,76.48), (4180,93.59), (4176,95.39), (4172,83.48), (4164,78.43), (4160,93.27), (4155,84.63), (4151,97.51), (4143,87.55), (4139,79.99), (4110,85.31), (4089,89.68), (4081,77.70), (4077,84.09), (4060,89.17), (4048,94.12), (4023,76.71), (4011,89.97), (3998,97.82), (3974,79.70), (3949,92.17)] |
SPY Combos: [418.34, 398.56, 428.23, 423.29] |
NDX Combos: [13550, 12975, 13470, 13751] |
QQQ Combos: [316.88, 330.9, 326.01, 335.79] |