Macro Theme:
Key dates ahead:
- 1/29: FOMC
We are risk off (short delta+long vol) if SPX <6,000.
Key SG levels for the SPX are:
- Support: 6,060, 6,050, 6,000
- Resistance: 6,100, 6,110
Founder’s Note:
Futures are flat after the S&P500’s ATH close at 6,118.
We start today with strong positive gamma, which should throttle S&P500 movement for day. The
Call Wall
did roll up from 6,100 to 6,140, which removes an overbought condition. However, the 6,140
Call Wall
is a 0DTE position – that of Capitan Condor.
Before we jump to the Captain, we note there are really large SPY positions at 610, which is is right around where the S&P500 closed. This adds to the local positive gamma, and anticipated price stickiness.
For the 3rd day in a row, Captain Condor is back with a massive +54k 0DTE SPX condor, doubling down from yesterday’s 30k spread in martingale style:
- 6,140 x 6,145 call spread
- 6,090 x 6,085 put spread
This, after the condor “lost” the last two sessions: a -12k condor on Wednesday, which the Captain then doubled to ~30k yesterday. We ball-park the losses on these spreads of ~$1.8mm & $4.5mm, respectively. Should the SPX trade through one of these spreads the loss would be near ~$8mm.
|
|
/ES |
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|---|
|
Reference Price: |
$6153.74 |
$6118 |
$609 |
$21900 |
$532 |
$2314 |
$229 |
|
SG Gamma Index™: |
|
0.055 |
-0.235 |
|
|
|
|
|
SG Implied 1-Day Move: |
0.59% |
0.59% |
0.59% |
|
|
|
|
|
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™: |
$6130.74 |
$6095 |
$608 |
$21320 |
$529 |
$2280 |
$228 |
|
Absolute Gamma Strike: |
$6125.74 |
$6090 |
$600 |
$21450 |
$530 |
$2300 |
$230 |
|
Call Wall: |
$6175.74 |
$6140 |
$610 |
$21450 |
$540 |
$2285 |
$230 |
|
Put Wall: |
$6125.74 |
$6090 |
$605 |
$20500 |
$500 |
$2250 |
$220 |
|
Zero Gamma Level: |
$6118.74 |
$6083 |
$608 |
$21357 |
$527 |
$2291 |
$229 |
|
|
SPX |
SPY |
NDX |
QQQ |
RUT |
IWM |
|---|---|---|---|---|---|---|
|
Gamma Tilt: |
1.006 |
0.812 |
1.711 |
1.056 |
1.009 |
0.849 |
|
Gamma Notional (MM): |
$724.066M |
$414.865M |
$16.922M |
$384.984M |
$4.231M |
‑$32.024M |
|
25 Delta Risk Reversal: |
-0.029 |
-0.011 |
-0.033 |
-0.017 |
-0.021 |
-0.003 |
|
Call Volume: |
474.956K |
1.245M |
8.289K |
691.173K |
14.555K |
316.702K |
|
Put Volume: |
822.021K |
2.043M |
8.398K |
818.208K |
21.141K |
218.803K |
|
Call Open Interest: |
6.314M |
5.086M |
56.281K |
2.524M |
233.899K |
2.956M |
|
Put Open Interest: |
11.828M |
13.124M |
66.218K |
4.416M |
392.484K |
6.375M |
|
Key Support & Resistance Strikes |
|---|
|
SPX Levels: [6090, 6000, 6100, 6085] |
|
SPY Levels: [600, 605, 610, 607] |
|
NDX Levels: [21450, 22000, 22500, 21400] |
|
QQQ Levels: [530, 525, 520, 540] |
|
SPX Combos: [(6400,94.35), (6376,72.68), (6351,89.39), (6327,80.50), (6302,97.55), (6278,81.45), (6272,72.25), (6247,97.68), (6223,94.14), (6198,99.31), (6192,76.13), (6180,81.81), (6174,95.16), (6168,97.16), (6162,88.57), (6149,99.32), (6143,86.89), (6137,99.96), (6131,94.79), (6125,96.21), (6119,96.42), (6113,93.71), (6100,98.98), (6094,88.08), (6088,99.99), (6082,99.99), (6076,92.21), (6070,73.14), (6033,68.43), (6002,78.68), (5978,81.07), (5972,69.31), (5947,74.37), (5923,92.22), (5898,89.12), (5868,79.61), (5849,83.41), (5825,72.55), (5819,73.49)] |
|
SPY Combos: [608.77, 609.37, 603.91, 603.31] |
|
NDX Combos: [22208, 21441, 21989, 21791] |
|
QQQ Combos: [540.01, 535.23, 521.94, 550.11] |