Futures were flat overnight, holding 3860. We anticipate a quiet morning ahead of the 2pm ET FOMC. Resistance is at 3900, then 3950. Support shows at 3850, then 3800. Short dated IV for the S&P is near 40% suggesting traders are looking for a 2% move today (video on term structure here).
As discussed yesterday, we continue to believe traders should consider downside insurance via long puts ahead of 2PM. The threat of potential heavy downside volatility was reinforced by the ~60 handle SPX decline yesterday AM. Note this is not a view that traders should be short into FOMC – but one that downside protection/skew is cheap, and may pay off well if the Fed sparks lower markets.
Additionally, the overall outlook discussed on 11/1 is unchanged for today. We are looking for a large directional move to extend out of today’s FOMC as market trend will be reinforced by new options positions, and changes in IV (see y’day AM note).
Specifically the two near term target areas (i.e. next 2-3 sessions) are 4000 to the upside, and 3600 to the downside. We do anticipate heavy options volume (both 0DTE and “real” longer term flow) forming out of today’s events, and so we will be watching for key levels to form outside of those bounds for next week.
As we approach the anticipated target areas of 4000 or 3600, the timing should line up with next weeks elections & CPI readings. The CPI event, in particular, should trigger a second directional leg into Nov OPEX (11/18).
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 3855 | 3855 | 384 | 11288 | 275 |
| SG Implied 1-Day Move:: | 1.2%, | (±pts): 46.0 | VIX 1 Day Impl. Move:1.62% | ||
| SG Implied 5-Day Move: | 3.15% | 3900 (Monday Ref Price) | Range: 3778.0 | 4023.0 | ||
| SpotGamma Gamma Index™: | -0.05 | 0.04 | -0.16 | 0.02 | -0.10 |
| Volatility Trigger™: | 3820 | 3830 | 384 | 11040 | 280 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 390 | 11050 | 270 |
| Gamma Notional(MM): | -167.0 | -161.0 | -869.0 | 3.0 | -649.0 |
| Put Wall: | 3600 | 3600 | 375 | 11000 | 265 |
| Call Wall : | 3900 | 3950 | 390 | 11050 | 285 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 3902 | 3873 | 392.0 | 10533.0 | 302 |
| CP Gam Tilt: | 0.99 | 0.91 | 0.73 | 1.28 | 0.61 |
| Delta Neutral Px: | 3911 | ||||
| Net Delta(MM): | $1,640,698 | $1,558,060 | $187,960 | $50,307 | $97,529 |
| 25D Risk Reversal | -0.05 | -0.04 | -0.02 | -0.04 | -0.01 |
| Call Volume | 440,317 | 559,380 | 2,185,371 | 7,904 | 730,528 |
| Put Volume | 744,434 | 962,438 | 2,819,878 | 6,071 | 899,471 |
| Call Open Interest | 6,376,374 | 6,534,621 | 7,863,264 | 62,510 | 4,651,048 |
| Put Open Interest | 11,143,373 | 10,635,765 | 13,768,407 | 58,907 | 6,864,101 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4000, 3900, 3800, 3700] |
| SPY: [390, 385, 380, 375] |
| QQQ: [280, 275, 270, 265] |
| NDX:[12500, 12000, 11500, 11050] |
| SPX Combo (strike, %ile): [(3998.0, 88.95), (3948.0, 94.44), (3898.0, 94.59), (3836.0, 79.4), (3798.0, 74.86), (3759.0, 78.19), (3748.0, 78.8), (3725.0, 75.87), (3701.0, 91.32)] |
| SPY Combo: [388.75, 393.75, 369.14, 398.75, 382.6] |
| NDX Combo: [10871.0, 11052.0, 11074.0, 11289.0, 10995.0] |
