Futures are higher to 3980 ahead of today’s monthly OPEX. We see ~30% of total gamma in SPX/SPY/QQQ expiring today, with the bulk of that concentrated in the 4000/400/290 area. For today first resistance is at 3980, with 4000-4010(SPY400) as major resistance. Support below shows at 3960, then 3900.
At the top of the note in our “Macro Theme” we’ve noted the core idea that markets should be supported into 11/18 expiration. Further, if you look back at our notes from earlier in the month we foretasted that the 11/8 elections & 11/19 CPI would trigger a large directional move into 11/18 expiration.
Now that we’ve arrived at monthly expiration, we look for markets to set a new course and begin to focus on the massive December OPEX. Dec OPEX is the largest expiration of the year, and will likely be a major driver of price momentum into 12/16. Further, the FOMC is on 12/14 which likely keeps a bid into IV through the start of December. This suggests that markets have plenty of fuel for volatility for the first half of Dec.
As plotted below, there are no significant expiration between now and Dec expiration. This limits the charm & pinning effect that we think has been dominant this week, and why we see markets moving away from this area into next week.
That being said, we to not see a clear directional edge heading into Thanksgiving week. We remain in favor of owning some longer term downside insurance due to the December OPEX mechanics outlined above, but there is little in either options positioning or IV to grab onto.
Our current reading is that call open interest >4000 remains quite dull (ex: Call Wall shifting back to 4000), and there is an air pocket below 3900 into the 3600 Put Wall. If volatility does spark next week, we think it may be more short term, as Dec OPEX is a bit too far off to really “grab hold”. We also think that many traders may favor trying to get some positive carry/being short vol over the Thanksgiving holiday, and so any vol pop may be sold in the short term.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 3947 | 3938 | 394 | 11678 | 284 |
| SG Implied 1-Day Move:: | 1.09%, | (±pts): 43.0 | VIX 1 Day Impl. Move:1.5% | ||
| SG Implied 5-Day Move: | 3.15% | 3900 (Monday Ref Price) | Range: 3778.0 | 4023.0 | ||
| SpotGamma Gamma Index™: | 0.43 | 0.43 | -0.13 | 0.02 | -0.01 |
| Volatility Trigger™: | 3925 | 3920 | 394 | 11025 | 285 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 390 | 12000 | 285 |
| Gamma Notional(MM): | -24.0 | -103.0 | -801.0 | 3.0 | -130.0 |
| Put Wall: | 3600 | 3600 | 390 | 11000 | 265 |
| Call Wall : | 4000 | 4100 | 400 | 11700 | 290 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 3935 | 3956 | 399.0 | 11314.0 | 297 |
| CP Gam Tilt: | 1.11 | 0.95 | 0.8 | 1.22 | 0.93 |
| Delta Neutral Px: | 3885 | ||||
| Net Delta(MM): | $1,768,673 | $1,746,991 | $205,616 | $53,589 | $106,772 |
| 25D Risk Reversal | -0.05 | -0.04 | -0.05 | -0.03 | -0.04 |
| Call Volume | 625,322 | 537,941 | 2,126,050 | 14,040 | 896,067 |
| Put Volume | 951,155 | 859,377 | 3,206,112 | 8,477 | 1,102,866 |
| Call Open Interest | 7,290,877 | 7,198,075 | 8,678,438 | 70,279 | 5,765,260 |
| Put Open Interest | 12,161,696 | 11,975,451 | 15,253,864 | 69,948 | 7,729,769 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4000, 3950, 3900, 3800] |
| SPY: [400, 395, 390, 385] |
| QQQ: [300, 290, 285, 280] |
| NDX:[12000, 11700, 11600, 11500] |
| SPX Combo (strike, %ile): [(4102.0, 93.07), (4054.0, 91.33), (4027.0, 75.2), (4007.0, 81.64), (4003.0, 99.0), (3979.0, 86.93), (3837.0, 80.89), (3802.0, 89.18), (3754.0, 87.31)] |
| SPY Combo: [399.76, 409.62, 404.88, 379.65, 374.92] |
| NDX Combo: [11888.0, 11480.0] |
