Futures are flat overnight, holding 3950. Key Levels remain the same: 4000 resistance, 3960-3950 pivot, and support at 3927 then 3900.
There is an 8:30AM ET jobs number which traders are likely keying off of this morning. We do not anticipate this being a major market driver, but traders area a bit skittish after the CPI report. This is reflected in the SPX IV term structure, below. You can see there is some backwardation of sorts which is tied to todays jobs figure and then next weeks FOMC.
While IV remains elevated, there were clear signals of put selling and call buying into the close. We continue to think (barring a big jobs print deviation) put decay and short dated IV selling will be the predominant force into Fridays OPEX, and look for a move back up into the 4000 area.
On net we see ~25-30% of total delta & gamma expiring across SPY/SPX/QQQ with Fridays OPEX. This is large size, but not record-breaking. Further, we’ve seen short dated positions fill in through the 390/3900 – 400/4000 strikes (boxed in red, full size images here). This implies traders are finding the SPX “fair value” in this price area.
We may seem like a broken record on this point – but there continues to be little demand for downside put protection. This is primarily signaled by the Risk Reversal indicator stuck at -0.06 & Put Wall unchanged at 3900. This constitutes to suggest that further downside is currently limited.
While we assign an edge for a move back into 4000, overall liquidity is likely to remain thin which leads to jumpy, fast price action. A true large directional move is unlikely to setup until 9/21 FOMC.
|SpotGamma Proprietary SPX Levels||Latest Data||SPX Previous||SPY||NDX||QQQ|
|SG Implied 1-Day Move::||0.9%,||(±pts): 36.0||VIX 1 Day Impl. Move:1.65%|
|SG Implied 5-Day Move:||2.92%||4067 (Monday Ref Price)||Range: 3949.0 | 4186.0|
|SpotGamma Gamma Index™:||-1.24||-1.54||-0.37||-0.01||-0.18|
|SpotGamma Absolute Gamma Strike:||4000||4000||400||12000||300|
|Call Wall :||4005||4005||430||12500||315|
|Additional Key Levels||Latest Data||Previous||SPY||NDX||QQQ|
|Zero Gamma Level:||4121||4050||412.0||12119.0||327|
|CP Gam Tilt:||0.76||0.7||0.54||0.99||0.5|
|Delta Neutral Px:||4063|
|25D Risk Reversal||-0.06||-0.06||-0.06||-0.06||-0.07|
|Call Open Interest||6,834,585||6,739,343||7,783,823||76,793||4,908,051|
|Put Open Interest||11,868,315||11,002,718||13,520,223||81,990||7,606,912|
|Key Support & Resistance Strikes:|
|SPX: [4000, 3950, 3900, 3800]|
|SPY: [400, 395, 390, 385]|
|QQQ: [300, 295, 290, 285]|
|NDX:[13000, 12500, 12150, 12000]|
|SPX Combo (strike, %ile): [(4006.0, 89.45), (4002.0, 93.35), (3950.0, 96.64), (3927.0, 81.16), (3899.0, 99.42), (3875.0, 80.48), (3852.0, 95.23)]|
|SPY Combo: [389.86, 394.99, 385.13, 400.12, 400.52]|
|NDX Combo: [11892.0, 12292.0, 12098.0, 12219.0, 12001.0]|