Futures were flat overnight, holding 4000. SG levels remain unchanged, with 4000-4010(SPY400) serving as primary resistance. First support shows in the 3960(SPY395) – 3950 range, with more critical support at 3900.
We do continue see a close over 4000 as bullish, as it increases the chance of a 4065 test into Friday (3/31). Conversely a break of 3900 may invoke a test of the 3850 level, due to negative gamma dynamics.
The market continues to exhale as the bank-related tail risks subside. We continue to see a reduction in short term IV’s which eases downside pressure. This lower IV can be seen via the contango in the SPX term structure, as shown below. Note IV is elevated around Thursday’s/Friday’s jobs/PCE print, but these IV’s are quite reduced versus recent, similar data points.
This lower IV is not, however, translating into call demand as traders continue to sell calls into rallies. As a result, prices continue to rotate in these large gamma zones of 3950/4000, and this rotational/mean reverting flow may persist into end of week.
In tech, where we have been looking for consolidation, we noted heavy QQQ volumes centered around 310 strike. Of particular note was ~200k call volume at 310 & 311, and ~150k put volume at 308/309/310 strikes. We generally read heavy volume around large OI as traders finding “fair value”, and this 310 strike likely remains in play through a fairly large 3/31 expiration.
With that we also saw pullbacks in some of the recent market leaders like AMD & NVDA. Last Friday was a call-heavy expiration for many of these names, which clips some of the sector momentum. We did not see a ton of interest in “call reloading” yesterday – it seems as though traders have less relative focus on these names. This flow can reload quickly, and should these leaders resume their bullish momentum its a positive signal for equities overall.
On net (while we sound like a broken record), the baseline scenario mapped out over the last several days remains largely unchanged.
The main change from the last several days is that of IV reduction, which suggests that the market is reducing odds of a sharp drawdown over the next several sessions. We anticipate this dynamic it remain in place through Friday.
We are bearish in the red zones <3900 and >4065, neutral in the yellow zone 3900-4000, and bullish in the green zone >4000 – 4065, as seen in the graphic below.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Reference Price: | 3977 | 3970 | 396 | 12670 | 308 |
| SG Implied 1-Day Move: | 1.16%, | (±pts): 46.0 | VIX 1 Day Impl. Move:1.31% | ||
| SG Implied 5-Day Move: | 3.01% | 3970 (Monday Reference Price) | Range: 3851.0 | 4091.0 | ||
| SpotGamma Gamma Index™: | -0.35 | -0.34 | -0.33 | 0.03 | -0.01 |
| Volatility Trigger™: | 3960 | 3960 | 400 | 11975 | 309 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 400 | 12525 | 300 |
| Gamma Notional (MM): | -171.0 | -231.0 | -1254.0 | 4.0 | -219.0 |
| Call Wall: | 4065 | 4065 | 410 | 12525 | 320 |
| Put Wall: | 3800 | 3800 | 390 | 11000 | 285 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4014 | 4008 | 405.0 | 11663.0 | 340 |
| Gamma Tilt: | 0.9 | 0.87 | 0.68 | 1.53 | 0.86 |
| Delta Neutral Px: | 3974 | ||||
| Net Delta(MM): | $1,215,355 | $1,213,356 | $178,450 | $44,798 | $96,752 |
| 25 Day Risk Reversal: | -0.05 | -0.05 | -0.05 | -0.05 | -0.05 |
| Call Volume: | 522,887 | 522,887 | 1,910,345 | 4,583 | 507,064 |
| Put Volume: | 940,201 | 940,201 | 3,153,077 | 6,265 | 1,020,958 |
| Call Open Interest: | 5,296,159 | 5,296,159 | 6,312,704 | 51,014 | 4,485,868 |
| Put Open Interest: | 10,315,540 | 10,315,540 | 12,915,397 | 53,990 | 8,073,543 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4100, 4000, 3950, 3900] |
| SPY: [400, 395, 390, 385] |
| QQQ: [320, 310, 305, 300] |
| NDX: [14000, 13000, 12525, 12000] |
| SPX Combo (Strike, Percentile): [(4157.0, 83.28), (4105.0, 90.57), (4081.0, 89.23), (4073.0, 95.31), (4065.0, 78.46), (4057.0, 90.82), (4037.0, 85.74), (4033.0, 76.68), (3958.0, 91.99), (3922.0, 89.94), (3906.0, 95.4), (3882.0, 78.01), (3870.0, 84.92), (3858.0, 93.07), (3830.0, 82.23), (3818.0, 81.39), (3806.0, 97.21)] |
| SPY Combo: [379.4, 389.31, 405.96, 384.56, 394.47] |
| NDX Combo: [13041.0, 12432.0, 12838.0, 12230.0, 13244.0] |
