ES futures are at 4000, down from overnight highs of 4016. Our models continue to point towards mean reversion into that large 4000 strike, with resistance above at 4024 and 4040. Support below shows at 3960.
The power of OPEX induced mean reversion was on full display yesterday, as it has been so far this week (as indicated above). There has been remarkable complacency in SG levels this week, too, which implies options traders are in “wait and see mode”.
One of our primary concerns for this rally has been the lack of call positions building overhead. There was a huge jump in call gamma resulting from the large SPX move up, but following that, total call gamma is fairly flat (blue line, below). Some consolidation of recent gains may be deemed healthy, but also requires that calls are rolled up in strike and out in time. We aren’t convinced traders will do that ahead of next weeks Thanksgiving holiday.
Further, as discussed yesterday, the SG models show +25% of today SPX/SPY/QQQ gamma set to expire on Friday which should put a dent in the call gamma above, and lead to a shift away from the current 4000/400/290 pin area. Note as well that current call gamma and/or positive gamma (green line, below) levels are very close to the highs of ’22. This upcoming change, along with low relative IV, led us to recommend adding a bit of put protection yesterday.
Finally, we are extremely excited to announce the addition of two new filters to our HIRO dashboard. First is a proprietary indicator that measures real time retail-driven options flow. Second, is a HIRO signal which only measures options flow for the next available expiration, or “0DTE”.
We have been one of the first to flag the increase in this 0DTE flow, and associated risks. Coincidental with our launch we note that the exchanges have now listed 0DTE options for both SPY & QQQ, which should undoubtedly lead to options volume being more concentrated in near term expirations.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 3991 | 3996 | 398 | 11871 | 289 |
| SG Implied 1-Day Move:: | 1.07%, | (±pts): 43.0 | VIX 1 Day Impl. Move:1.53% | ||
| SG Implied 5-Day Move: | 3.15% | 3900 (Monday Ref Price) | Range: 3778.0 | 4023.0 | ||
| SpotGamma Gamma Index™: | 0.85 | 0.48 | -0.03 | -0.00 | -0.00 |
| Volatility Trigger™: | 3920 | 3920 | 399 | 12400 | 289 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 400 | 11000 | 290 |
| Gamma Notional(MM): | 240.0 | 342.0 | -181.0 | 0.0 | -35.0 |
| Put Wall: | 3600 | 3600 | 390 | 11000 | 265 |
| Call Wall : | 4100 | 4100 | 410 | 13500 | 300 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 3950 | 3955 | 397.0 | 11329.0 | 300 |
| CP Gam Tilt: | 1.24 | 1.19 | 0.95 | 1.1 | 0.98 |
| Delta Neutral Px: | 3899 | ||||
| Net Delta(MM): | $1,830,385 | $1,727,288 | $205,398 | $8,265 | $106,118 |
| 25D Risk Reversal | -0.04 | -0.03 | -0.05 | -0.04 | -0.04 |
| Call Volume | 630,601 | 571,977 | 2,696,461 | 10,297 | 1,185,695 |
| Put Volume | 982,058 | 841,364 | 3,725,726 | 12,770 | 1,251,838 |
| Call Open Interest | 7,167,688 | 7,074,617 | 8,533,696 | 9,847 | 5,474,053 |
| Put Open Interest | 11,969,654 | 11,495,855 | 14,765,956 | 10,957 | 7,444,971 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4100, 4000, 3950, 3900] |
| SPY: [400, 395, 390, 380] |
| QQQ: [300, 290, 285, 280] |
| NDX:[14000, 13500, 13000, 11000] |
| SPX Combo (strike, %ile): [(4152.0, 88.79), (4124.0, 77.25), (4100.0, 98.17), (4092.0, 83.76), (4076.0, 84.96), (4060.0, 82.94), (4052.0, 94.65), (4040.0, 84.77), (4024.0, 83.96), (4000.0, 91.74), (3836.0, 75.97), (3800.0, 83.53)] |
| SPY Combo: [409.25, 404.47, 399.29, 414.43, 406.86] |
| NDX Combo: [12310.0, 12097.0, 11491.0] |
