Macro Theme:
Key dates ahead:
- 11/13 CPI
- 11/15 OPEX
- 11/20 VIX exp, NVDA ER
We remain long of equities while SPX is >5,950, with an upside target of 6,050.
6,000 is a massive support/pivot level the OPEX week of 11/11.
From pre-election: “Jan NVDA and/or QQQ calls are our preferred way to hedge the election/FOMC right tail, as call skews are statistically cheap, and the coupling of higher equity prices with call demand could lead to a sharp increase in call values.”
RE: TSLA
We are looking for a short-term top in the stock to occur this week (11/11), with three signals as a trigger:
- Large Nov OPEX removing +1/3 of negative gamma (a driver for upside volatility)
- A shift to 90-day highs in Call Skew (monitor vol dashboard skew charts)
- Price reaching 400 – the ATH
Key SG levels for the SPX are:
- Support: 5,980, 5,950
- Pivot: 6,000
- Resistance: 6,020, 6,050
- As of 11/11:
- Remain long equities if >5,950
- Neutral equities from 5,950 to 5,900
- Short equities if SPX <5,900
QQQ:
- Support: 510, 509, 500
- Resistance: 515, 520
IWM:
11/12: Skew Rank >90 indicates calls are statistically rich relative to puts. For that reason we are looking for some downside consolidation through 11/15 OPEX (IWM ref px: $240).
- Support: 235, 230
- Resistance: 240
Founder’s Note:
Futures are up fractionally, indicating and SPX open near 6,000.
PPI & Jobless Claims at 8:30AM ET. Powell at 3pm.
Does the market care about PPI? The 0Dte straddle is just $24, or 40 bps! This is as low as we see in 0DTE straddle pricing. (More on the importance of this in a moment…)
Its not a coincidence that this ultra-tight 0DTE pricing lines up with 6,000 SPX & SPY 600 having increased in gamma-strength, from a big +$400mm in
call gamma
yesterday to a “ginormous” +$700mm today. More gamma today makes this 6k an even more massive source of hedging flow, and a likely pinning/magnet zone – as its been for several days.
You can see below how the SPX has been mean-reverting right back into the 6k strike over the last 2 sessions, and we think that continues today. You need big news and a big, continuous source of exogenous flow to break from this strike.
So, whats the problem with this 0DTE pricing?
We view volatility as having a reverberation, or decay. You have a big event, like elections, which produces large volatility, and then that volatility gets sold & decreases over time. Often, its OPEX that marks the end, or low point, of volatility decay. The problem in situations like this, is that traders are likely to extrapolate very low volatility into the future, until realized volatility pops. This causes short vol traders to cover, which exacerbates movement. This then resets the volatility cycle.
The reason that OPEX may mark an end to an RV pattern is that large positions, and their related hedging flows, expire.
In this case, “volatility increasing” seems like an “extra easy” call because the 0DTE prices are at real lows heading into a monthly OPEX/VIX EXP and NVDA’s ER next week. We do not think you want to be short options/vol into 11/20 as we likely get large market moves, either: “stock down, vol up” or “stock up, vol up”.
We can also break all this down rather simply. Out of 11/20:
- If the SPX is >6k, we remain bullish (& long delta) and think that the rally lasts into Dec OPEX.
- Neutral 5,900 – 6,000 (flat delta positions)
- Bearish <5,900 (short delta)
|
/ES |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
---|---|---|---|---|---|---|---|
Reference Price: |
$6012.3 |
$5985 |
$597 |
$21036 |
$512 |
$2369 |
$235 |
SG Gamma Index™: |
|
2.608 |
0.178 |
|
|
|
|
SG Implied 1-Day Move: |
0.60% |
0.60% |
0.60% |
|
|
|
|
SG Implied 5-Day Move: |
1.95% |
1.95% |
|
|
|
|
|
SG Implied 1-Day Move High: |
After open |
After open |
After open |
|
|
|
|
SG Implied 1-Day Move Low: |
After open |
After open |
After open |
|
|
|
|
SG Volatility Trigger™: |
$5972.3 |
$5945 |
$598 |
$20290 |
$512 |
$2380 |
$237 |
Absolute Gamma Strike: |
$6027.3 |
$6000 |
$600 |
$21000 |
$510 |
$2400 |
$230 |
Call Wall: |
$6027.3 |
$6000 |
$600 |
$21400 |
$515 |
$2600 |
$240 |
Put Wall: |
$5527.3 |
$5500 |
$596 |
$18500 |
$500 |
$2250 |
$234 |
Zero Gamma Level: |
$5933.3 |
$5906 |
$591 |
$20056 |
$511 |
$2363 |
$235 |
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
---|---|---|---|---|---|---|
Gamma Tilt: |
1.336 |
1.181 |
1.675 |
1.05 |
1.012 |
0.946 |
Gamma Notional (MM): |
$663.365M |
$563.392M |
$12.935M |
$13.962M |
‑$2.208M |
‑$62.18M |
25 Delta Risk Reversal: |
-0.027 |
-0.001 |
-0.032 |
-0.008 |
-0.014 |
0.011 |
Call Volume: |
556.824K |
1.305M |
8.468K |
653.336K |
32.549K |
374.73K |
Put Volume: |
893.015K |
1.839M |
11.067K |
926.671K |
36.034K |
631.724K |
Call Open Interest: |
7.491M |
6.219M |
67.76K |
3.38M |
336.644K |
4.101M |
Put Open Interest: |
14.034M |
14.438M |
92.591K |
6.593M |
549.511K |
8.653M |
Key Support & Resistance Strikes |
---|
SPX Levels: [6000, 5950, 5900, 5800] |
SPY Levels: [600, 595, 590, 598] |
NDX Levels: [21000, 21100, 20500, 21500] |
QQQ Levels: [510, 500, 515, 505] |
SPX Combos: [(6249,95.93), (6225,75.44), (6201,98.53), (6177,79.98), (6165,84.60), (6153,96.48), (6123,88.83), (6111,87.27), (6099,99.32), (6087,83.08), (6081,73.10), (6075,94.50), (6069,87.36), (6063,90.88), (6057,98.70), (6051,99.61), (6045,89.44), (6039,92.87), (6033,88.20), (6027,98.98), (6021,95.93), (6015,97.42), (6009,91.88), (6003,95.85), (5997,99.69), (5979,72.09), (5973,91.44), (5961,72.05), (5949,92.80), (5943,87.87), (5932,69.37), (5914,76.01), (5902,76.82), (5800,69.14), (5752,73.28), (5698,78.63)] |
SPY Combos: [598.69, 608.24, 603.47, 618.39] |
NDX Combos: [21141, 21352, 21204, 21268] |
QQQ Combos: [514.96, 520.09, 500.09, 515.99] |