Futures have slid lower to 3890 ahead of Powell’s 9AM ET speech. Key SG levels are unchanged, with the exception of the Vol Trigger which is now at 3900. This helps to reinforce 3900 as the key bull/bear pivot line. By default our models are bullish while the SPX is > Vol Trigger, and bearish below. This syncs with our overall theme of a market breakout with a close >3900.
The major theme here is that a directional breakout is now likely to be reinforced by OPEX flows. A directional breakout involves a close >3900 or <3800. If traders do not get enough insights from Powell, then attention flips to Thursdays CPI, wherein this “directional breakout” remains in play.
Needless to say Powell should trigger a wide range of movement today. Particularly into 9AM liquidity will dry up (from low to anemic) and spreads widen out. This facilitates extreme moves which are often read as overreactions, which subsequently mean revert. Resistance is at 3915 (SPY 390), 3950, then 4000. Support shows at 3865, 3850, then 3815 (SPY 380).
While implied volatility is escalated in the short term for Powell & CPI, there remains little demand for longer term hedging. This theme is not new, but suggests that traders continue to be hyper focused on short term market gyrations and holding back on longer term positioning.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 3892 | 3909 | 387 | 11108 | 270 |
| SG Implied 1-Day Move:: | 1.23%, | (±pts): 48.0 | VIX 1 Day Impl. Move:1.38% | ||
| SG Implied 5-Day Move: | 3.0% | 3894 (Monday Ref Price) | Range: 3777.0 | 4011.0 | ||
| SpotGamma Gamma Index™: | -0.37 | -0.14 | -0.21 | 0.03 | -0.06 |
| Volatility Trigger™: | 3915 | 3870 | 389 | 11090 | 272 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 390 | 11275 | 270 |
| Gamma Notional(MM): | -182.0 | 70.0 | -1060.0 | 5.0 | -446.0 |
| Put Wall: | 3700 | 3700 | 380 | 10500 | 260 |
| Call Wall : | 4000 | 4000 | 410 | 11275 | 290 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 3924 | 3912 | 393.0 | 10696.0 | 303 |
| CP Gam Tilt: | 0.9 | 1.04 | 0.69 | 1.46 | 0.74 |
| Delta Neutral Px: | 3918 | ||||
| Net Delta(MM): | $1,466,567 | $1,435,576 | $149,928 | $45,232 | $82,515 |
| 25D Risk Reversal | -0.05 | -0.05 | -0.04 | -0.04 | -0.04 |
| Call Volume | 587,401 | 576,683 | 2,222,172 | 15,400 | 859,619 |
| Put Volume | 916,151 | 925,643 | 3,356,341 | 10,947 | 1,180,703 |
| Call Open Interest | 5,676,329 | 5,555,590 | 6,539,285 | 66,252 | 4,696,940 |
| Put Open Interest | 10,026,010 | 9,926,239 | 11,829,339 | 58,777 | 6,341,065 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4000, 3950, 3900, 3850] |
| SPY: [400, 390, 385, 380] |
| QQQ: [280, 270, 265, 260] |
| NDX:[12000, 11500, 11275, 11000] |
| SPX Combo (strike, %ile): [(4075.0, 78.68), (4063.0, 83.56), (4052.0, 82.43), (4028.0, 76.14), (4001.0, 93.12), (3974.0, 77.4), (3951.0, 83.66), (3923.0, 78.88), (3849.0, 82.56), (3826.0, 80.05), (3814.0, 88.99), (3799.0, 94.85), (3764.0, 76.45), (3748.0, 89.63), (3725.0, 75.31), (3713.0, 74.74), (3701.0, 95.2)] |
| SPY Combo: [368.85, 378.55, 398.72, 373.51, 380.1] |
| NDX Combo: [11275.0, 10675.0, 10886.0] |
