Futures are up slightly to 3940, from overnight lows of 3916. 3950-3960 (SPY395) remains first resistance, with 4000 the major level above. Support is at 3900. Our volatility estimates remain near a benign 1%.
Traders have built up this “box” of positioning from 390-400, which implies this zone should be sticky into Friday.
Our data continues to suggest that the options market in “wait and see” mode. Not just from small shifts the past several days, but also lack of positioning post-FOMC. We talked about this in last nights note, wherein volumes are concentrated in short term ATM, and the rise in IV/VIX is more of a response to being well under realized volatility. As we discussed yesterday AM, those market moving flows on Monday/Tuesday didn’t register concern in the options market (and apparently shut off yesterday).
You can see the slump in activity from this chart of total market call (blue) + put volumes (black). It reads somewhat like positional indifference at the end of a long year, and in front of some huge data points next week.
The options market is pricing in some volatility tied to tomorrows PPI & Michigan sentiment data. Normally these data points largely ignored by markets, but now they offer a final insight into 12/14 FOMC (along with 12/13 CPI). The likelihood is that this data doesn’t offer much, and traders quickly shift focus to next week.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 3933 | 3931 | 393 | 11497 | 280 |
| SG Implied 1-Day Move:: | 1.06%, | (±pts): 41.0 | VIX 1 Day Impl. Move:1.42% | ||
| SG Implied 5-Day Move: | 2.82% | 4071 (Monday Ref Price) | Range: 3957.0 | 4186.0 | ||
| SpotGamma Gamma Index™: | -0.81 | -0.72 | -0.29 | 0.03 | -0.08 |
| Volatility Trigger™: | 4000 | 4000 | 397 | 11540 | 285 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 400 | 11650 | 280 |
| Gamma Notional(MM): | -489.0 | -497.0 | -1218.0 | 6.0 | -517.0 |
| Put Wall: | 3900 | 3900 | 380 | 11000 | 265 |
| Call Wall : | 4100 | 4100 | 410 | 11650 | 290 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 3978 | 3976 | 398.0 | 10887.0 | 296 |
| CP Gam Tilt: | 0.84 | 0.75 | 0.72 | 1.47 | 0.73 |
| Delta Neutral Px: | 3958 | ||||
| Net Delta(MM): | $1,800,807 | $1,848,860 | $213,257 | $50,207 | $102,383 |
| 25D Risk Reversal | -0.03 | -0.5 | -0.03 | -0.03 | -0.03 |
| Call Volume | 487,298 | 487,298 | 2,073,878 | 9,023 | 923,570 |
| Put Volume | 801,544 | 801,544 | 2,308,454 | 5,383 | 1,034,247 |
| Call Open Interest | 6,966,504 | 6,799,953 | 8,879,950 | 73,412 | 5,485,900 |
| Put Open Interest | 11,875,940 | 12,073,100 | 14,165,352 | 62,742 | 7,116,200 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4000, 3950, 3900, 3800] |
| SPY: [400, 395, 390, 380] |
| QQQ: [300, 290, 285, 280] |
| NDX:[12000, 11750, 11650, 11500] |
| SPX Combo (strike, %ile): [(4099.0, 92.23), (4075.0, 77.61), (4051.0, 88.6), (3926.0, 74.57), (3898.0, 96.95), (3890.0, 85.67), (3874.0, 86.94), (3859.0, 75.05), (3851.0, 95.27), (3835.0, 83.79), (3823.0, 87.33), (3804.0, 85.16), (3800.0, 95.42), (3776.0, 75.23), (3749.0, 89.44)] |
| SPY Combo: [389.62, 379.79, 384.9, 409.67, 374.68] |
| NDX Combo: [11647.0, 11474.0, 11060.0, 11267.0, 11888.0] |
