Futures are up to 4150 as traders await 8:30AM ET jobless claims. Our Call Walls have shifted higher to 4150 SPX & 415 SPY (4165 equivalent) – this sets 4165 as our closing range high for today. Key support levels are now 4115 (SPY 410) to 4100 SPX. We now look for daily trading ranges to begin shifting lower (i.e. less realized volatility).
TLDR: Call Walls shifter higher, and IV is down sharply. These signals are both bullish, and market a shift into a more “call dominated”, lower volatility regime. We anticipate this regime remaining in place through Feb OPEX (2/17).
With the S&P close >4100, and a shift higher in the Call Wall(s), we anticipate markets holding their bullish stance. Interestingly, options traders are still assigning a high IV (~30%) for today’s jobless print which gives a backwardated appearance to term structure. Apart from the elevated 0DTE IV, the rest of the term structure shifted down across the board. Simply said – the options market prices lower risks ahead.
The result of this seems to be the unlocking of new lows in volatility as discussed in yesterdays note. This should be a tailwind for equities. Below you can see 30 day RV vs 1 month IV, and we would anticipate both measures now sliding down to ’21 levels.
What seems to be setting up here looks an awful lot like August of 2022. Back then, July FOMC sparked a risk-on rally that built up into an August VIX/OPEX pin in the 4250 area. Call positions built into August OPEX which resulted in the rise & eventual pinning of the S&P at OPEX. As those August calls expired, the market then mean reverted/consolidated.
Coincidentally the S&P is currently at the same price as the start of August, with nearly the same days left to OPEX (2 weeks).
With that, our “market map” from yesterday remains in play. Our bullish stance holds as long as the SPX remains >4100, as this signals call positions being added and a continued reduction in IV (which invokes vanna tailwinds). Further, while the Call Walls did roll higher to 4150, we are watching the 420SPY/4200SPX level as the likely Call Wall into tomorrow/early next week. Gamma is building at that strike, and it would not take much for a wall shift.
This bullish stance unwinds on a break of 4100, as the momentum is lost and price attraction shifts back to 4000. 4000 remains a very large gamma strike down below, and a close <4100 would likely shift control back to 4000 as a pivot/magnet area into Feb OPEX.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4119 | 4102 | 410 | 12363 | 300 |
| SG Implied 1-Day Move:: | 1.08%, | (±pts): 44.0 | VIX 1 Day Impl. Move:1.15% | ||
| SG Implied 5-Day Move: | 2.87% | 4070 (Monday Ref Price) | Range: 3953.0 | 4187.0 | ||
| SpotGamma Gamma Index™: | 1.34 | 0.98 | -0.05 | 0.05 | 0.02 |
| Volatility Trigger™: | 4020 | 4020 | 409 | 11225 | 294 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 410 | 12000 | 300 |
| Gamma Notional(MM): | 459.0 | 483.0 | -437.0 | 7.0 | 18.0 |
| Put Wall: | 3800 | 3800 | 390 | 10500 | 285 |
| Call Wall : | 4150 | 4100 | 415 | 12000 | 310 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4049 | 4033 | 413.0 | 0 | 315 |
| CP Gam Tilt: | 1.44 | 1.31 | 0.87 | 1.86 | 1.01 |
| Delta Neutral Px: | 3963 | ||||
| Net Delta(MM): | $1,527,649 | $1,552,037 | $172,002 | $57,685 | $95,602 |
| 25D Risk Reversal | -0.04 | -0.06 | -0.03 | -0.0 | -0.0 |
| Call Volume | 579,049 | 456,910 | 2,622,487 | 6,694 | 996,227 |
| Put Volume | 928,583 | 774,216 | 4,199,032 | 7,002 | 1,300,952 |
| Call Open Interest | 5,718,628 | 5,636,094 | 6,145,006 | 63,723 | 4,620,202 |
| Put Open Interest | 10,054,509 | 10,103,370 | 13,538,151 | 56,504 | 7,761,553 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4200, 4100, 4050, 4000] |
| SPY: [420, 410, 405, 400] |
| QQQ: [300, 290, 285, 280] |
| NDX:[13000, 12500, 12000, 11425] |
| SPX Combo (strike, %ile): [(4300.0, 96.03), (4276.0, 82.14), (4251.0, 93.98), (4226.0, 90.18), (4210.0, 86.5), (4202.0, 98.67), (4181.0, 75.93), (4177.0, 94.6), (4169.0, 81.14), (4160.0, 90.86), (4148.0, 98.6), (4140.0, 85.39), (4132.0, 84.28), (4123.0, 93.7), (4111.0, 86.45), (4099.0, 97.14), (4074.0, 83.6), (4066.0, 89.32), (3950.0, 76.92)] |
| SPY Combo: [419.01, 413.67, 408.74, 428.86, 416.54] |
| NDX Combo: [12734.0, 12536.0, 12005.0, 12326.0, 12944.0] |
