Futures are higher to 3750. We’ve seen a general slide lower in key SG levels due to the addition of put positions. In general we are marking 3800 as major resistance, and the gamma flip point. Above that level we believe dealers switch back to a positive gamma stance which gives our model a bullish edge. Above 3800 resistance, we mark 3835 then 3900 as resistance. Support shows at 3710-3700 then 3650.
Yesterday the SPX held a remarkably quiet session after opening on the 3700 level. With this we saw the VIX drop back to 25, and our RiskReversal hold that bullish -0.04 level. Simply put: there is no incremental demand for long put protection. In fact IV metrics seem to suggest traders are still content selling downside puts into market drawdowns. There is just no bear follow-through.
We had been calling for a larger directional move down to the 3600 Put Wall, but the new flow coming into 3700 has made it a sizeable gamma strike and a decent support point. Further, given the IV dynamics discussed above, we are now having to assign probability to an upside recovery in the short term. When new data comes in, we have to assess and adjust.
This correlation between SPX price action in VIX is really quite interesting (touched on yesterday). Even though the S&P500 is some 100-150 handles down from earlier this week, the VIX is down 5 points. Yes, vol generally comes off after the passing of an event (aka FOMC event vol) – but if Powell had sparked real downside hedging demand we would not likely have market down/VIX down.
This idea of vol being seemingly “unresponsive” to major downside move (i.e. SKEW/VVIX at lows) is not new – and one has to respect the movement of this relationship. If this new FOMC datapoint didn’t bring a major IV spark higher, then its likely traders are going to jump on shorting vol that expires before next weeks elections & (more importantly) CPI – which is a tailwind for equities.
And while we did not see that 0DTE flow surge yesterday, one has to remain on the lookout for that volume. As we noted yesterday that 0DTE flow has tended to be on the call side, wherein it takes advantage of depressed equity prices.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 3719 | 3719 | 371 | 10690 | 260 |
| SG Implied 1-Day Move:: | 1.25%, | (±pts): 46.0 | VIX 1 Day Impl. Move:1.59% | ||
| SG Implied 5-Day Move: | 3.15% | 3900 (Monday Ref Price) | Range: 3778.0 | 4023.0 | ||
| SpotGamma Gamma Index™: | -1.28 | -0.03 | -0.41 | 0.01 | -0.14 |
| Volatility Trigger™: | 3780 | 3825 | 380 | 11000 | 280 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 370 | 11050 | 265 |
| Gamma Notional(MM): | -732.0 | -799.0 | -2066.0 | 1.0 | -934.0 |
| Put Wall: | 3600 | 3600 | 365 | 10500 | 265 |
| Call Wall : | 3835 | 4100 | 395 | 11050 | 282 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 3851 | 3882 | 387.0 | 10436.0 | 291 |
| CP Gam Tilt: | 0.67 | 0.63 | 0.52 | 1.14 | 0.48 |
| Delta Neutral Px: | 3888 | ||||
| Net Delta(MM): | $1,704,203 | $1,670,937 | $202,875 | $43,464 | $100,214 |
| 25D Risk Reversal | -0.04 | -0.05 | -0.02 | -0.03 | -0.02 |
| Call Volume | 545,634 | 545,634 | 2,779,689 | 11,903 | 1,198,322 |
| Put Volume | 1,027,763 | 1,027,763 | 4,237,327 | 7,272 | 1,431,404 |
| Call Open Interest | 6,654,975 | 6,551,358 | 8,384,584 | 65,636 | 5,073,151 |
| Put Open Interest | 11,393,899 | 11,268,942 | 14,251,555 | 56,697 | 6,792,459 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4000, 3900, 3800, 3700] |
| SPY: [375, 370, 365, 360] |
| QQQ: [275, 270, 265, 260] |
| NDX:[12000, 11500, 11050, 11000] |
| SPX Combo (strike, %ile): [(3898.0, 78.56), (3835.0, 80.48), (3761.0, 74.36), (3709.0, 87.56), (3701.0, 94.85), (3675.0, 82.96), (3660.0, 90.38), (3649.0, 97.48), (3623.0, 85.68), (3608.0, 86.6), (3601.0, 97.33), (3575.0, 74.81), (3560.0, 73.72), (3549.0, 89.84)] |
| SPY Combo: [363.96, 359.14, 369.15, 365.07, 353.94] |
| NDX Combo: [10872.0, 10669.0, 11054.0, 10263.0, 10466.0] |
