Macro Theme:
Key dates ahead:
- 12/6 NFP
- 12/11 CPI
Our primary risk metric signals being long of equities while SPX >6,000 with an upside target 6,100. <6,000 we flip to risk-off. Through to 12/20 OPEX we plan to operate in “buy the dip mode” until/unless <6,000.
12/6: We’ve added various forms of put protection due to low IV’s as a way to protect recent gains, and play any potential volatility expansion between now and year end.
Key SG levels for the SPX are:
- Support: 6,050, 6,025, 6,000
- Resistance: 6,077, 6,100, 6,112
- As of 12/06:
- Long equities if >6,000
- Short equities if SPX <6,000
QQQ:
- Support: 520, 510
- Resistance: 525
IWM:
- Support: 235
- Resistance: 240, 245
Founder’s Note:
Futures are +10 bps, with no major news on deck for today.
Support: 6,050, 6,025, 6,000
Resistance: 6,077, 6,100
The main theme of the last few notes focused on the extreme low in IV’s, with an upside exhaustion sign coming in the form of the 6,100
Call Wall
failing to roll higher after Friday’s rally.
Yesterday’s implied market move (via the 0DTE SPX straddle) was ~$15 or ~25bps – which is as low as we’ve seen post-Covid (2020). Accordingly, we saw the SPX realize +2x that implied move in the opening hours – a sign to us that short vol traders had their “hands slapped”, forcing a cover trade which opens the door to further, (relatively) large swings >30bps. We note “relative” swings because these are 30-50 bps moves – not exactly insanity, but annoying moves if you were short IV at 25bps implied moves.
|
|
/ES |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$6062.79 |
$6052 |
$604 |
$21440 |
$522 |
$2392 |
$237 |
|
SG Gamma Index™: |
|
0.639 |
0.076 |
|
|
|
|
|
SG Implied 1-Day Move: |
0.57% |
0.57% |
0.57% |
|
|
|
|
|
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™: |
$6055.79 |
$6045 |
$604 |
$21490 |
$524 |
$2405 |
$238 |
|
Absolute Gamma Strike: |
$6010.79 |
$6000 |
$605 |
$21000 |
$520 |
$2400 |
$240 |
|
Call Wall: |
$6110.79 |
$6100 |
$610 |
$20475 |
$530 |
$2500 |
$250 |
|
Put Wall: |
$6035.79 |
$6025 |
$600 |
$20800 |
$465 |
$2300 |
$225 |
|
Zero Gamma Level: |
$6027.79 |
$6017 |
$599 |
$21226 |
$517 |
$2405 |
$239 |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
1.066 |
1.063 |
1.159 |
0.991 |
0.897 |
0.858 |
|
Gamma Notional (MM): |
$193.539M |
$661.896M |
$6.376M |
$179.913M |
‑$16.971M |
‑$186.817M |
|
25 Delta Risk Reversal: |
-0.03 |
-0.023 |
-0.032 |
0.00 |
0.00 |
-0.009 |
|
Call Volume: |
453.425K |
1.286M |
7.318K |
706.528K |
11.937K |
343.673K |
|
Put Volume: |
797.829K |
1.853M |
10.721K |
983.106K |
20.93K |
498.278K |
|
Call Open Interest: |
7.785M |
6.23M |
69.182K |
3.565M |
330.223K |
3.963M |
|
Put Open Interest: |
14.20M |
12.358M |
98.677K |
6.436M |
548.425K |
8.291M |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [6000, 6100, 6050, 5900] |
|
SPY Levels: [605, 600, 610, 606] |
|
NDX Levels: [21000, 21500, 21400, 20800] |
|
QQQ Levels: [520, 510, 525, 500] |
|
SPX Combos: [(6349,89.78), (6301,97.43), (6277,71.72), (6253,97.99), (6222,88.32), (6204,78.01), (6198,99.51), (6192,73.73), (6180,68.93), (6174,91.28), (6168,86.36), (6162,80.26), (6156,93.55), (6150,98.89), (6144,80.97), (6138,91.55), (6132,88.34), (6125,95.26), (6119,83.61), (6113,75.05), (6107,98.32), (6101,99.82), (6095,90.71), (6089,93.85), (6077,99.20), (6071,84.34), (6053,98.31), (6047,92.03), (6041,89.80), (6035,96.72), (6029,97.29), (6023,97.99), (6017,84.83), (6010,75.66), (6004,96.48), (5998,87.49), (5992,78.49), (5986,85.29), (5974,87.38), (5968,69.70), (5962,84.30), (5956,82.07), (5950,87.72), (5938,74.60), (5926,79.41), (5908,73.64), (5902,85.96), (5847,84.18), (5823,69.57), (5799,89.78)] |
|
SPY Combos: [609.03, 618.75, 613.89, 623.61] |
|
NDX Combos: [21548, 21762, 21955, 21591] |
|
QQQ Combos: [530.17, 534.9, 535.43, 523.32] |