Futures have recovered to 3790, after having opened above 3800, then trading down to 3740. For today we see resistance at 3800 then 3835. Support shows at 3760, 3725 then 3700. Our SG Implied Move is quite high at 1.3%, which is a reflection of the gamma which expired on Friday.
With Oct monthly OPEX behind us, the board has currently been “reset” so-to-speak. We now kick off a November OPEX cycle, wherein we look for new large options positions to form over the coming weeks. With that the market should start to tighten around key options levels.
To this point, there were several shifts in key SG levels after Fridays OPEX:
First – the largest gamma level shifts up to 4000 from 3700. This, like a higher SG Implied Move, syncs with our view that markets will unpin from the 3700 area this week. Second the Call Wall shifted to 3900 which is now starts as our overhead target into Nov OPEX. Finally, the Vol Trigger is at 3725 and as stated on Friday – should the SPX trade above that level our models hold a bullish stance.
Since the Oct OPEX positions are now gone, we see the range from 3835 down to 3700 as quite fluid due to light open interest. Accordingly, over the next session or two, we anticipate the market either plunging into either the green (>3835) or red zones (<3700) marked on the chart below. With this we see options positions building in these areas, and IV reinforcing market behavior (IV drops[raises] with higher[lower] market, fueling trend).
There is this idea prevailing here that traders are essentially net short puts here, and long calls. This creates “grind down” declines in markets, buy jumpy upside moves. This is the mirror image of this is what we generally see in call heavy, bullish markets (like last year). One of the more interesting views on this is the chart below, which shows vol for up days (blue) vs down days (orange), and as you can see there seems to be this higher vol tied to higher SPX days.
We’d surmise that much of this upside vol is driven by put decay more that active call buying as we just don’t see much of the way in upside call buying. We do however think this idea of owning “upside crash protection” is seeping into the lexicon, which suggests that many traders are on the lookout for this move.
The way to identify this in SG data is through our RiskReversal metric (moving toward zero/ <-0.05) as well as the Vol Trigger staying <= current levels (3725).
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 3752 | 3752 | 374 | 11310 | 275 |
| SG Implied 1-Day Move:: | 1.31%, | (±pts): 49.0 | VIX 1 Day Impl. Move:1.89% | ||
| SG Implied 5-Day Move: | 2.85% | 3752 (Monday Ref Price) | Range: 3646.0 | 3860.0 | ||
| SpotGamma Gamma Index™: | -0.30 | -1.52 | -0.18 | 0.02 | -0.05 |
| Volatility Trigger™: | 3725 | 3695 | 374 | 11000 | 272 |
| SpotGamma Absolute Gamma Strike: | 4000 | 3700 | 370 | 11050 | 270 |
| Gamma Notional(MM): | -252.0 | -63.0 | -1010.0 | 2.0 | -402.0 |
| Put Wall: | 3600 | 3650 | 360 | 11000 | 265 |
| Call Wall : | 3900 | 3700 | 385 | 11050 | 280 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 3798 | 3770 | 385.0 | 10396.0 | 301 |
| CP Gam Tilt: | 0.9 | 0.97 | 0.68 | 1.26 | 0.72 |
| Delta Neutral Px: | 3893 | ||||
| Net Delta(MM): | $1,665,639 | $1,701,698 | $183,174 | $48,837 | $95,875 |
| 25D Risk Reversal | -0.05 | -0.05 | -0.04 | -0.05 | -0.05 |
| Call Volume | 639,714 | 644,623 | 2,450,909 | 13,954 | 776,073 |
| Put Volume | 1,077,526 | 1,018,936 | 3,830,652 | 7,582 | 1,142,357 |
| Call Open Interest | 6,566,843 | 7,535,459 | 7,535,925 | 57,305 | 4,468,890 |
| Put Open Interest | 10,734,863 | 12,015,544 | 12,928,490 | 53,845 | 6,555,061 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4000, 3900, 3800, 3700] |
| SPY: [380, 375, 370, 360] |
| QQQ: [300, 280, 270, 265] |
| NDX:[12500, 12000, 11500, 11050] |
| SPX Combo (strike, %ile): [(3899.0, 92.32), (3850.0, 81.66), (3835.0, 85.04), (3824.0, 75.29), (3700.0, 81.05), (3651.0, 89.43), (3625.0, 73.96), (3610.0, 80.54), (3599.0, 95.76)] |
| SPY Combo: [358.94, 388.89, 364.18, 382.52, 384.02] |
| NDX Combo: [10881.0, 11050.0, 11084.0] |
