Macro Theme:
Key dates ahead:
- 3/10: Home Sales
- 3/11: CPI
- 3/13: GDP
- 3/18: VIX EXP
- 3/20: OPEX
SG Summary:
Update 3/9: Our updated lens is watching for a 6,500 low into March OPEX 3/20 – Q End OPEX 3/31. Following March, we think the 6,500 floor drops out. To the upside, Vol premiums are very wide, but they are all tied to the Iran premium, which offers conflict vol, plus energy vol, which is apparently bleeding into rate vol. That said, equity vol premiums are ~20 points (massive), and from that we can see some violent market bounces as that premium contracts, but true to our recent word, vol cannot fully revert until conflicts have largely resolved. To put it more plainly: We think rips should be sold until the Iran situation resolves. Largely that seems like “Strait of Hormuz has reopened”.
3/3: Don’t be a hero. A move into the 6,600s are easy from here, and rallies are likely to be quite unstable given the global and lurking credit uncertainty. Neither of those problems are going away in the short term, and that likely keeps a bid in volatility. When we see some form of stability, we will likely drop the Risk Pivot from 6,900 to likely somewhere <=6,800. Not yet.
3/2: Given the Iran conflict, we see no reason to buy SPX dips near 6,800 as risks are too high with negative gamma below, and volatility simmering. Should SPX drop into the 6,600s & VIX goes >=30, then we may elect to get into call structures. If there is a bounce, 6,900 remains strong resistance.
Key SG levels for the SPX are:
- Resistance: 6,900
- Pivot: 6,900 (bearish <, bullish >) updated 2/26
- Support: 6,600, 6,500 (Update 3/9: 6,500 is our Major Low target into March end).
Founder’s Note:
Futures are off 10 handles after yesterday’s ~3% rally from lows.
The VIX has been slammed from intraday highs near 35, to 25.
One could argue that the last few days we’ve all just been essentially oil traders, and that oil decline is a serious dent to the equity bears case: WTI was yesterday over 119, its now at 90.
Gamma is quite negative across the entire spectrum of SPX prices, which backs the idea that high volatility should continue. Further, we note that vol retains a large premium of ~10 vol points, and 2), has come in enough that “re-spiking” is a legitimate concern. You may recall yesterday we saw the 5th largest spread between VIX and SPX realized vol ever, at +18 pts.
For upside levels, 6,900 is the only area where we’d draw strong resistance levels. This is due to the persistent call selling that we’d see come in as the SPX approached that level. To the downside, we are still watching that 6,600 – 6,500 level for major support, as the JPM strike and its gamma isn’t not going away before 3/31.
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| /ESH26 | SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|---|
| Reference Price: | $6799.43 | $6795 | $678 | $24967 | $607 | $2553 | $253 |
| SG Gamma Index™: |
| -1.358 | -0.511 |
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| SG Implied 1-Day Move: |
| 0.68% | 0.68% |
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| SG Implied 5-Day Move: |
| 1.50% |
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| SG Implied 1-Day Move High: |
| After open | After open |
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| SG Implied 1-Day Move Low: |
| After open | After open |
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| SG Volatility Trigger™: | $6804.43 | $6800 | $680 | $24590 | $605 | $2600 | $257 |
| Absolute Gamma Strike: | $7004.43 | $7000 | $690 | $25075 | $600 | $2600 | $255 |
| Call Wall: | $7004.43 | $7000 | $700 | $25075 | $630 | $2670 | $270 |
| Put Wall: | $6704.43 | $6700 | $660 | $24000 | $590 | $2550 | $255 |
| Zero Gamma Level: | $6811.43 | $6807 | $687 | $24531 | $611 | $2625 | $269 |
| Key Support & Resistance Strikes |
|---|
| SPX Levels: [7000, 6000, 6900, 6800] |
| SPY Levels: [690, 670, 660, 680] |
| NDX Levels: [25075, 25000, 25500, 24000] |
| QQQ Levels: [600, 610, 620, 590] |
| SPX Combos: [(7122,69.03), (7102,94.93), (7075,69.21), (7061,72.60), (7047,90.73), (7027,90.60), (7020,82.24), (7013,69.30), (7007,76.25), (7000,94.77), (6993,71.11), (6973,82.84), (6952,91.85), (6932,83.50), (6925,66.43), (6918,90.33), (6912,83.42), (6898,92.39), (6857,76.35), (6837,73.18), (6803,94.38), (6769,73.59), (6762,89.08), (6748,88.53), (6742,71.01), (6728,83.93), (6721,66.69), (6714,86.62), (6708,77.81), (6701,98.41), (6687,73.20), (6674,79.85), (6667,78.42), (6660,81.31), (6653,93.60), (6640,70.71), (6633,77.55), (6626,84.72), (6612,93.07), (6599,97.47), (6592,81.15), (6585,69.31), (6572,91.17), (6565,82.21), (6558,70.58), (6551,90.76), (6524,75.51), (6517,76.67), (6511,86.89), (6497,97.14), (6477,88.73), (6463,75.24)] |
| SPY Combos: [668.46, 658.37, 648.28, 678.54] |
| NDX Combos: [25067, 24243, 24643, 23994] |
| QQQ Combos: [599.87, 590.27, 610.67, 584.27] |
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| SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|
| Gamma Tilt: | 0.879 | 0.597 | 1.387 | 0.807 | 0.635 | 0.402 |
| Gamma Notional (MM): | ‑$316.663M | ‑$1.232B | $10.028M | ‑$232.145M | ‑$45.496M | ‑$1.288B |
| 25 Delta Risk Reversal: | -0.099 | 0.00 | -0.11 | 0.00 | 0.00 | 0.00 |
| Call Volume: | 1.04M | 2.051M | 11.541K | 1.164M | 30.589K | 511.487K |
| Put Volume: | 1.506M | 3.269M | 10.425K | 1.419M | 43.618K | 1.913M |
| Call Open Interest: | 8.631M | 5.587M | 73.222K | 3.709M | 257.029K | 3.093M |
| Put Open Interest: | 13.146M | 11.359M | 78.741K | 5.832M | 439.44K | 7.816M |
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