Futures are down slightly to 3950 into this holiday shortened week (no, not the World Cup, but Thanksgiving in the US). Our updated forecasts shows lighter volatility for this session, with a 1% SG Implied Move. This indicates both 3900 & 4000 are in play for today.
4000 is where we see heavy resistance, with lighter 3975 resistance in between. To the downside we note a band of support at 3960 (SPY 395) to 3950. Beneath there is larger support at 3900.
Currently we see positioning as very neutral in the 3950 – 4000 area. Our default view here is that markets are going naturally want to mean revert back into this zone, particularly to the 4000 strike. It’s likely we need a trigger to push markets significantly in either direction, and Wednesday’s 2pm ET Fed Mins appear to be the nearest data catalyst.
As you can see in the term structure below, there is a slight IV bid on that day indicating traders are anticipating higher volatility.

The trigger is required because the default behavior of traders has been to sell short dated IV (aka “buy the dip”) when given the opportunity, but their enthusiasm for upside wanes sharply <=4000. The Call Wall (4000) shifting higher is the signal that traders are looking for an upside breakout.
This week we look for strong support at 3900 given that traders will likely not want to carry puts over Thanksgiving, and we have smaller near term options positions (see Fridays note). Beneath 3900 we look for volatility to tick substantially higher, as we believe traders will need to add downside put protection (and/or cover short puts). Our models don’t pick up a “max put” position until 3600 which is currently our major, longer term support line (i.e. out into December OPEX).
We continue to like holding some downside “lotto tickets” given the dynamics of:
- Put Wall staged significantly below current prices – indicates lack of hedges
- IV/SKEW continuing to be very flat – indicates lack of hedges
- “Medium term” IV should hold a bid due to 12/14 FOMC
- DEC OPEX positioning could act as a catalyst to drive downside volatility
Finally, we wanted to circle back on this put/call ratio data. There is a dearth of “misinformation” floating around and unfortunately getting a lot of attention in regards to “record put/call ratios”. We categorize the information as incorrect because it either cherry picks and/or ignores the full data.
We’ve covered the “extreme put buying” in the OCC data here, and have created a custom put/call indicator here. This indicator only shows equities, and considers all expirations. A snapshot of this is shown below, and there are two key takeaways:
- First is the volume put/call indicator (orange) is having an incredible amount of oscillation. This is likely due to 0DTE volume. Compare current “near record” levels vs the Covid crash readings of March ’20 wherein we knew everyone was holding put protection.
- Second, there is no “real” demand to hold puts as per the open interest put/call indicator (blue). We say that is the “real” demand as if you think markets are going to crash you are going to likely hold puts overnight, which makes that position register into open interest.

SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
---|---|---|---|---|---|
Ref Price: | 3967 | 3948 | 396 | 11677 | 284 |
SG Implied 1-Day Move:: | 0.99%, | (±pts): 39.0 | VIX 1 Day Impl. Move:1.45% | ||
SG Implied 5-Day Move: | 2.95% | 3967 (Monday Ref Price) | Range: 3850.0 | 4084.0 | ||
SpotGamma Gamma Index™: | 0.35 | 0.43 | -0.07 | 0.02 | -0.02 |
Volatility Trigger™: | 3920 | 3925 | 394 | 11475 | 283 |
SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 400 | 11650 | 290 |
Gamma Notional(MM): | 52.0 | -16.0 | -454.0 | 4.0 | -171.0 |
Put Wall: | 3600 | 3600 | 390 | 12000 | 265 |
Call Wall : | 4000 | 4000 | 400 | 11650 | 290 |
Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
---|---|---|---|---|---|
Zero Gamma Level: | 3952 | 3934 | 398.0 | 10811.0 | 294 |
CP Gam Tilt: | 1.1 | 0.99 | 0.86 | 1.39 | 0.89 |
Delta Neutral Px: | 3934 | ||||
Net Delta(MM): | $1,713,990 | $1,769,188 | $174,780 | $49,846 | $95,668 |
25D Risk Reversal | -0.05 | -0.05 | -0.06 | -0.05 | -0.05 |
Call Volume | 430,290 | 625,322 | 1,963,771 | 16,413 | 718,624 |
Put Volume | 776,513 | 951,155 | 2,319,223 | 7,769 | 677,276 |
Call Open Interest | 6,337,943 | 7,290,877 | 7,299,852 | 63,330 | 4,923,668 |
Put Open Interest | 11,174,859 | 12,161,696 | 12,411,592 | 59,072 | 6,673,785 |
Key Support & Resistance Strikes: |
---|
SPX: [4000, 3950, 3900, 3800] |
SPY: [400, 396, 395, 390] |
QQQ: [300, 290, 285, 280] |
NDX:[12500, 12000, 11650, 11500] |
SPX Combo (strike, %ile): [(4154.0, 82.96), (4102.0, 93.75), (4078.0, 82.51), (4050.0, 90.61), (4027.0, 81.57), (4007.0, 79.89), (4003.0, 94.79), (3975.0, 87.3), (3971.0, 74.47), (3951.0, 85.65), (3908.0, 74.51), (3836.0, 80.57), (3801.0, 89.42)] |
SPY Combo: [399.59, 409.5, 404.35, 379.4, 396.82] |
NDX Combo: [11654.0, 11479.0, 11887.0] |






