Futures have recovered from Fridays close to 3640. Resistance shows at 3654 then 3700. Support shows at 3600 then 3579.
We are still assigning an edge to a move higher for markets into Friday, with 3750 (Vol Trigger) now the overhead target. This is driven by the idea that IV and put decay should be a tailwind for equity markets.
The last two sessions have been wild, with the S&P traveling 6% from Thursdays low to Fridays high. Despite these massive two day swings, Friday ultimately closed just a few bps from Wednesday.
Volume and position changes from Friday reveal heavy call volume at 370/3700 & put volume at 360/3600. It seems that some small put positions were on net closed from 3600 to 3700. This appears to be mostly short dated options puts.
Our view was, and still is, that the market would stage a large directional run from last weeks CPI into this Fridays OPEX. This view was based from the idea that IV was quite elevated (VIX >30) and there is a large, concentrated put position expiring Friday. As shown below there is roughly $300bn in total put deltas (teal) expiring across QQQ/NDX/SPY/SPX. You may also note there is hardly any call position (navy) tied to Fridays expiration.
The issue here for bears is that when the S&P tests the 3500 area, our indicators suggests markets are at “max put” positioning. One of the prime metrics for this is our Delta Tilt indicator which shows that the ratio of put delta: call delta is at lows that has been related to equity lows. Further some IV metrics like our Risk Reversal indicator and skew are not showing increased levels of panic (in the form of demand for puts <=3500).
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 3585 | 3585 | 357 | 10692 | 260 |
| SG Implied 1-Day Move:: | 1.3%, | (±pts): 47.0 | VIX 1 Day Impl. Move:2.02% | ||
| SG Implied 5-Day Move: | 3.03% | 3585 (Monday Ref Price) | Range: 3477.0 | 3694.0 | ||
| SpotGamma Gamma Index™: | -1.67 | -1.67 | -0.42 | -0.02 | -0.11 |
| Volatility Trigger™: | 3750 | 3700 | 380 | 11525 | 280 |
| SpotGamma Absolute Gamma Strike: | 3700 | 3700 | 360 | 12000 | 270 |
| Gamma Notional(MM): | -951.0 | -701.0 | -2365.0 | -4.0 | -804.0 |
| Put Wall: | 3500 | 3500 | 350 | 11000 | 260 |
| Call Wall : | 3835 | 4100 | 420 | 11750 | 274 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 3797 | 3856 | 385.0 | 11085.0 | 298 |
| CP Gam Tilt: | 0.53 | 0.69 | 0.43 | 0.66 | 0.48 |
| Delta Neutral Px: | 3863 | ||||
| Net Delta(MM): | $1,733,638 | $1,820,293 | $219,731 | $42,701 | $106,075 |
| 25D Risk Reversal | -0.05 | -0.05 | -0.05 | -0.05 | -0.06 |
| Call Volume | 562,089 | 830,619 | 2,522,335 | 7,644 | 900,421 |
| Put Volume | 1,059,692 | 1,214,028 | 3,482,436 | 6,903 | 970,172 |
| Call Open Interest | 7,045,266 | 7,013,584 | 8,559,254 | 64,344 | 5,097,740 |
| Put Open Interest | 11,177,924 | 11,607,281 | 13,908,048 | 75,003 | 6,865,642 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4000, 3700, 3650, 3600] |
| SPY: [360, 355, 350, 340] |
| QQQ: [280, 270, 265, 260] |
| NDX:[12500, 12000, 11500, 11000] |
| SPX Combo (strike, %ile): [(3704.0, 79.45), (3654.0, 90.27), (3629.0, 76.57), (3607.0, 81.06), (3604.0, 96.69), (3579.0, 79.27), (3557.0, 84.39), (3553.0, 93.11), (3528.0, 87.74), (3507.0, 86.1), (3503.0, 98.31), (3478.0, 78.55), (3453.0, 92.89), (3428.0, 80.84)] |
| SPY Combo: [349.4, 359.42, 354.41, 344.4, 364.42] |
| NDX Combo: [10660.0, 10863.0, 10254.0, 10457.0, 11077.0] |
