Futures have recovered from yesterday, to 3705. Levels remain broadly unchanged for today, with resistance at 3700 then 3751. Support shows at 3652 then 3621.
Today is a headline minefield, with US data out at 8:30AM but also various comments and speeches from central bankers. Markets may be more sensitive to this data & statements due to currency & credit stress.
Equities remain quite put heavy, which drives extreme volatility. We’ve covered the downside extensively the last several days, and one bad headline here could provide a final push into 3600 for Friday. We still assign edge to this scenario, but think it may make sense for traders to add some upside exposure for a bounce into October.
This is because these hedging feedback mechanisms work in both market directions, and as we approach Fridays expiration we remind traders that there is now a great deal of upside risk in markets, too. We’re under the belief that policy makers, globally, will be attempting to calm markets here which elevates this upside risk. With the VIX staged above 30 and put positioning maxed (addressed below), there is little to stop markets from a run back up into 4000 (puts decline sharply in value as both underlying price goes up and IV goes down, leading to futures hedge buying).
Further, there are a variety of technical indicators suggesting that this market is now deeply oversold on a short term basis. Interestingly in sync with this thought are our Delta & Gamma Tilt metrics. Both of these indicators are now showing readings which are associated with bottoms in the S&P500.
|SpotGamma Proprietary SPX Levels||Latest Data||SPX Previous||SPY||NDX||QQQ|
|SG Implied 1-Day Move::||1.11%,||(±pts): 41.0||VIX 1 Day Impl. Move:2.01%|
|SG Implied 5-Day Move:||2.7%||3695 (Monday Ref Price)||Range: 3595.0 | 3795.0|
|SpotGamma Gamma Index™:||-1.96||-1.85||-0.43||-0.01||-0.13|
|SpotGamma Absolute Gamma Strike:||4000||4000||360||11750||280|
|Call Wall :||4300||4300||420||11750||325|
|Additional Key Levels||Latest Data||Previous||SPY||NDX||QQQ|
|Zero Gamma Level:||3994||3991||401.0||11498.0||318|
|CP Gam Tilt:||0.42||0.41||0.35||0.86||0.45|
|Delta Neutral Px:||4028|
|25D Risk Reversal||-0.08||-0.07||-0.06||-0.08||-0.08|
|Call Open Interest||5,570,560||5,482,645||7,418,915||54,080||4,508,785|
|Put Open Interest||10,386,196||10,199,762||12,210,795||72,110||6,849,461|
|Key Support & Resistance Strikes:|
|SPX: [4000, 3800, 3700, 3600]|
|SPY: [370, 365, 360, 350]|
|QQQ: [290, 285, 280, 275]|
|NDX:[12000, 11750, 9200, 9175]|
|SPX Combo (strike, %ile): [(3751.0, 90.9), (3700.0, 92.31), (3660.0, 74.75), (3652.0, 94.52), (3627.0, 81.01), (3620.0, 75.63), (3612.0, 87.35), (3601.0, 98.07), (3579.0, 90.62), (3576.0, 78.49), (3561.0, 77.09), (3550.0, 91.04)]|
|SPY Combo: [358.85, 363.95, 368.68, 353.75, 373.78]|
|NDX Combo: [11074.0, 11490.0, 11277.0]|