Futures are holding near 4130 as traders await Powell @ 12:40ET. SG levels are unchanged, with 410SPX/4100SPX being critical support. First resistance above lies at 4150-4160(SPY415), and the top of our trading range is at 4200-4215(SPY420). A break of 4100 today likely invokes a quick test of 4060.
With Powell on deck we think both 4200 and 4060 are in play for today as IV should shift, creating some strong vanna flows which could be pumped by 0DTE.
As we touched on yesterday, short term IV is elevated due to Powell and 2/14 CPI. You can see this angst in the implied probability distribution for SPX, below. Highlighted by the red boxes are areas wherein the price probabilities of SPX widen out due to uncertainty around Powell/CPI (i.e. there is a larger chance of tails after these events).
For today, traders are pricing the S&P largely remaining near 4100, however we are anticipating a push away from 4100 today as we think Powell either “rocks the boat” down toward 4050, or “clears the deck” for a 4200 retest. On this point todays ATM straddle (ref 4110) is currently trading at $38, which maybe underpricing volatility for this session.
Longer term whats interesting here is that we feel the market is going to be drawn to either 4000 or 4200 in fairly short order. The market seems to be pricing odds of this – however mainly after 2/14 CPI. We think there is a fairly good chance of trading at these extremes of 4000/4200 prices into CPI.
We’ve mapped out our sentiment on the chart below. Markets holding over 4100 today would likely invoke a test of 4200 over the next few sessions. In that case we will want to see if the Call Wall(s) roll higher to open the door for a push >4200.
To the downside, if we break 4100 the weight of 4000 starts to shift into play as outlined yesterday.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4111 | 4114 | 409 | 12465 | 303 |
| SG Implied 1-Day Move:: | 1.02%, | (±pts): 42.0 | VIX 1 Day Impl. Move:1.22% | ||
| SG Implied 5-Day Move: | 2.85% | 4136 (Monday Ref Price) | Range: 4019.0 | 4254.0 | ||
| SpotGamma Gamma Index™: | 0.79 | 1.04 | -0.16 | 0.04 | -0.02 |
| Volatility Trigger™: | 4060 | 4020 | 409 | 11225 | 303 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 410 | 13000 | 300 |
| Gamma Notional(MM): | 256.0 | 200.0 | -776.0 | 7.0 | -83.0 |
| Put Wall: | 3900 | 3900 | 400 | 11000 | 300 |
| Call Wall : | 4200 | 4200 | 420 | 11425 | 310 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4071 | 4074 | 415.0 | 0 | 320 |
| CP Gam Tilt: | 1.21 | 1.11 | 0.79 | 1.69 | 0.95 |
| Delta Neutral Px: | 4016 | ||||
| Net Delta(MM): | $1,639,985 | $1,646,267 | $181,290 | $63,792 | $101,849 |
| 25D Risk Reversal | -0.06 | -0.05 | -0.04 | -0.04 | -0.04 |
| Call Volume | 439,435 | 517,280 | 1,639,307 | 5,951 | 648,830 |
| Put Volume | 741,450 | 968,965 | 2,305,808 | 6,997 | 975,216 |
| Call Open Interest | 5,881,186 | 5,772,301 | 6,225,745 | 67,394 | 4,680,059 |
| Put Open Interest | 10,619,684 | 10,589,519 | 13,892,945 | 64,983 | 7,985,189 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4150, 4100, 4050, 4000] |
| SPY: [420, 410, 405, 400] |
| QQQ: [310, 305, 300, 290] |
| NDX:[13000, 12650, 12000, 11425] |
| SPX Combo (strike, %ile): [(4300.0, 95.62), (4276.0, 84.84), (4251.0, 94.33), (4226.0, 90.83), (4214.0, 76.55), (4202.0, 97.74), (4177.0, 92.93), (4169.0, 76.79), (4165.0, 77.29), (4148.0, 97.1), (4124.0, 88.85), (4111.0, 80.77), (4099.0, 93.21), (4066.0, 82.67), (4013.0, 82.97), (4000.0, 80.4), (3951.0, 90.44), (3914.0, 80.14)] |
| SPY Combo: [418.85, 413.52, 428.68, 423.76, 408.6] |
| NDX Combo: [12728.0, 12316.0, 12653.0, 12939.0, 11905.0] |
