Futures have shifted lower to 3860. After OPEX the SPX Put Wall, and major support, has shifted down to 3800. Note the SPY Put Wall holds at 390 (3900 SPX). Resistance shows at 3900 then 3950.
Unsurprisingly OPEX brought the closing and rolling of ITM to OTM puts which has resulted in the SPX Put Wall shift to 3800, and a buildup of puts at SPY 380. We anticipate traders looking to sell ultra-short dated “pre-Fed” puts today which could help add market support.
After large put expirations, like Friday, we often see markets make lows the Monday after expiration(i.e. today). We make this remark while cognizant of the fact that the SPX broke Put Wall support on Friday. Long term members are aware of our focus on this “put-weighted opex rally” dynamic, and it’s caught larger attention, too.
Shown below are the SPX returns for the weeks into OPEX (top chart) and after OPEX (bottom) – and you can see the stark contrast of negative returns into OPEX, and positive returns out of OPEX(more here). The hitch here, is FOMC.
To this point, FOMC is holding IV up as shown below. You can see this reflected in the term structure between 9/20 (pre-FOMC) & 9/22 (post-FOMC). The OPEX dynamic outlined above has us looking for support only for today into tomorrow – but not a full “risk-on” due to FOMC. It will take IV dropping post FOMC to fuel a sustainable rally.
It remains our view that FOMC is going to trigger a large directional move which should last into month end. Ultimately a move back above the 4000 Vol Trigger signals a full risk-on for markets with a move up into 4200 by 9/30. If Powell triggers bearish sentiment, we target recent lows of 3650 by 9/30.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 3872 | 3874 | 385 | 11861 | 289 |
| SG Implied 1-Day Move:: | 1.16%, | (±pts): 45.0 | VIX 1 Day Impl. Move:1.65% | ||
| SG Implied 5-Day Move: | 2.9% | 3872 (Monday Ref Price) | Range: 3760.0 | 3985.0 | ||
| SpotGamma Gamma Index™: | -1.33 | -1.35 | -0.41 | 0.01 | -0.15 |
| Volatility Trigger™: | 4000 | 3920 | 400 | 11675 | 312 |
| SpotGamma Absolute Gamma Strike: | 4000 | 3900 | 390 | 11750 | 290 |
| Gamma Notional(MM): | -742.0 | -1095.0 | -2047.0 | 1.0 | -999.0 |
| Put Wall: | 3800 | 3900 | 390 | 11000 | 290 |
| Call Wall : | 4005 | 3950 | 430 | 11750 | 315 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4044 | 3956 | 405.0 | 11583.0 | 334 |
| CP Gam Tilt: | 0.59 | 0.59 | 0.42 | 1.1 | 0.45 |
| Delta Neutral Px: | 4048 | ||||
| Net Delta(MM): | $1,406,367 | $1,707,648 | $173,767 | $45,427 | $105,742 |
| 25D Risk Reversal | -0.05 | -0.05 | -0.03 | -0.07 | -0.07 |
| Call Volume | 555,206 | 586,628 | 2,009,597 | 16,445 | 746,660 |
| Put Volume | 1,001,897 | 971,247 | 3,846,435 | 7,994 | 1,365,754 |
| Call Open Interest | 5,136,866 | 6,986,202 | 6,380,905 | 52,131 | 3,834,611 |
| Put Open Interest | 9,331,389 | 11,290,529 | 10,829,138 | 67,303 | 6,772,954 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4000, 3950, 3900, 3800] |
| SPY: [400, 390, 385, 380] |
| QQQ: [300, 290, 285, 280] |
| NDX:[13000, 12500, 12000, 11750] |
| SPX Combo (strike, %ile): [(3950.0, 85.67), (3915.0, 83.85), (3900.0, 94.4), (3865.0, 79.35), (3849.0, 90.45), (3826.0, 80.0), (3814.0, 85.81), (3799.0, 98.37), (3776.0, 83.14), (3764.0, 81.94)] |
| SPY Combo: [378.23, 388.26, 383.25, 379.78, 393.27] |
| NDX Combo: [11897.0, 11683.0, 11755.0] |
