Futures are trading up slightly to 3715, from overnight lows of 3680. Key SG levels are unchanged from yesterdays session, with key support at 3700 then 3652. Resistance shows at 3750 & 3800. 370SPY/3700SPX is the key pivot level into tomorrow as it is the strike with the largest total gamma – and the bulk of that expires tomorrow.
Note that this mornings 8:30AM ET jobless claims may spark some volatility.
We still mark tomorrows monthly expiration as having roughly 20% of total options positions across S&P and Nasdaq. With that there are a max of $200bn in put deltas (teal bars, below) which suggests that the put-decay from tomorrows OPEX is providing a tailwind for equities – but there isn’t a whole lot left. This is syncing with our sentiment that 3750 (Vol Trigger) to 3800 is the top of our trading into tomorrows close.
Our IV metrics, like the Risk Reversal, continue to suggest that there is not a lot of demand for downside put protection. We think its still likely that traders are short OTM puts as indicated by recent data. This is why we discount that $200bn figure from above. If traders are selling some puts that can still provide an interim boost for equities as dealers are long those puts vs buying stock – this would mitigate some of that “opex put decay boost”.
The tricky part at this juncture is Oct OPEX should remove the 3700 area pin, and markets the closing/exhaustion of our bullish time window (as we viewed the weeks rally as driven by Oct puts decaying). We’re then given about a week until two major catalysts: Nov FOMC (11/3) and US elections (11/8), which are important for us as they likely keep implied volatility elevated.
In order to sustain a rally here out of OPEX we need to see the market get up over the Vol Trigger (3750) and call position start to build overhead (see why here) . As you can see in the chart above there is almost nothing in the way of material call positions out until Dec. OPEX. Absent calls, any options boost to equities would have to come from implied volatility declining and/or very short dated options positions coming in.
Again, should the SPX trading back above the Vol Trigger, its our core signal that options are positioning to boost equities.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 3695 | 3685 | 368 | 11103 | 270 |
| SG Implied 1-Day Move:: | 1.21%, | (±pts): 45.0 | VIX 1 Day Impl. Move:1.95% | ||
| SG Implied 5-Day Move: | 2.96% | 4130 (Monday Ref Price) | Range: 4008.0 | 4253.0 | ||
| SpotGamma Gamma Index™: | -0.92 | -0.77 | -0.33 | -0.02 | -0.09 |
| Volatility Trigger™: | 3750 | 3750 | 375 | 11310 | 270 |
| SpotGamma Absolute Gamma Strike: | 3700 | 3700 | 370 | 12000 | 270 |
| Gamma Notional(MM): | -608.0 | -512 | -1782.0 | -3.0 | -643.0 |
| Put Wall: | 3600 | 3600 | 360 | 11000 | 265 |
| Call Wall : | 3900 | 3900 | 390 | 11325 | 275 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 3855 | 3816 | 385.0 | 11339.0 | 298 |
| CP Gam Tilt: | 0.76 | 0.79 | 0.56 | 0.75 | 0.63 |
| Delta Neutral Px: | 3892 | ||||
| Net Delta(MM): | $1,784,623 | $1,567,035 | $207,191 | $51,416 | $105,420 |
| 25D Risk Reversal | -0.05 | -0.03 | -0.05 | -0.06 | -0.06 |
| Call Volume | 531,855 | 710,211 | 1,655,452 | 7,223 | 768,716 |
| Put Volume | 845,073 | 1,069,948 | 2,768,738 | 11,791 | 1,041,446 |
| Call Open Interest | 7,181,705 | 7,300,010 | 8,623,342 | 68,499 | 5,307,264 |
| Put Open Interest | 11,845,914 | 10,972,726 | 14,605,383 | 84,252 | 7,189,352 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4000, 3750, 3700, 3650] |
| SPY: [375, 370, 365, 360] |
| QQQ: [280, 275, 270, 265] |
| NDX:[12000, 11500, 11150, 11000] |
| SPX Combo (strike, %ile): [(3836.0, 85.31), (3700.0, 88.18), (3652.0, 94.3), (3626.0, 80.63), (3611.0, 86.99), (3600.0, 97.26), (3574.0, 72.67), (3559.0, 79.76), (3552.0, 91.15), (3526.0, 73.83)] |
| SPY Combo: [358.92, 364.08, 354.13, 368.87, 360.02] |
| NDX Combo: [10881.0, 10670.0, 11081.0, 11003.0] |
