- Futures are down slightly to 4055 ahead of the 9AM ET VIX expiration. Our volatility forecast remains again in line with recent estimates: SG 1 day implied move:1.2% with a VIX 1 day implied move of 1.5%. Resistance shows at 4100 SPX then 4115 (410 SPY). Support appears 4060 (SPY 405) then 4000.
25 seems to be the key downside level ahead of this mornings VIX settlement, with large put open interest at strikes <=25. Accordingly, we think it behooves dealers to have VIX close above that line (VIX low yesterday was 25.5).
Now that the market had a chance to digest Powell’s comments from yesterday, it appears there is little change in rate expectations. Accordingly we saw very active volume at the 4100 strike (80k contracts) which added some light resistance to that level. We also picked up on some put activity at 4050 (60k) and 4000 (80k).
This volume translated into small changes in open interest around at-the-money SPX levels, which led to a shift in several of our key levels (Put Wall, Call Wall, Vol Trigger).
Additionally yesterdays stock rally & decline in implied volatility (i.e. VIX) certainly pulls forward some of that “put fuel” for Friday’s expiration. Accordingly we see only 15% of SPX & QQQgamma expiring Friday, while SPY remains heavy at 35%.
Overall this tightens our estimated SPX price distribution into Friday, with 4000 major support and 4160 (Vol Trigger) major resistance. Had Powell shifted expectations we’d have anticipated seeing higher open interest changes at out-of-the-money strikes.
Below we’ve posted our strike gamma by percentile rank. As you can see its put gamma that still dominates, with call strikes maintaining a low weight. Until some material call strikes show up, we will continue to frame rallies as short covering and therefore subject to quick reversals.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4084 | 4084 | 408 | 12566 | 306 |
| SpotGamma Imp. 1 Day Move: Est 1 StdDev Open to Close Range |
1.13%, | (±pts): 46.0 | VIX 1 Day Impl. Move:1.65% | ||
| SpotGamma Imp. 5 Day Move: | 2.94% | 4021 (Monday Ref Px) | Range: 3904.0 | 4140.0 | ||
| SpotGamma Gamma Index™: | -1.22 | -1.84 | -0.25 | -0.03 | -0.08 |
| Volatility Trigger™: | 4160 | 4350 | 410 | 13575 | 305 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 400 | 13000 | 300 |
| Gamma Notional(MM): | -683.0 | -694.0 | -1205.0 | -4.0 | -500.0 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4286 | 4386 | 0 | 0 | 0 |
| Put Wall Support: | 4000 | 3900 | 400 | 12000 | 300 |
| Call Wall Strike: | 4700 | 4800 | 416 | 14000 | 312 |
| CP Gam Tilt: | 0.71 | 0.56 | 0.6 | 0.71 | 0.68 |
| Delta Neutral Px: | 4302 | ||||
| Net Delta(MM): | $1,808,775 | $1,827,962 | $187,985 | $57,847 | $125,721 |
| 25D Risk Reversal | -0.06 | -0.06 | -0.07 | -0.09 | -0.08 |
| Call Volume | 468,819 | 390,424 | 2,290,977 | 8,845 | 982,131 |
| Put Volume | 786,413 | 945,443 | 3,201,977 | 9,104 | 1,098,161 |
| Call Open Interest | 5,999,227 | 5,831,941 | 7,205,626 | 68,567 | 5,036,730 |
| Put Open Interest | 10,701,933 | 10,498,248 | 11,267,627 | 66,199 | 7,063,178 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4200, 4150, 4100, 4000] |
| SPY: [420, 410, 405, 400] |
| QQQ: [320, 310, 305, 300] |
| NDX:[14000, 13000, 12500, 12400] |
| SPX Combo (strike, %ile): [3995.0, 4097.0, 4003.0, 3970.0, 4044.0] |
| SPY Combo: [399.31, 409.51, 400.12, 396.86, 404.21] |
| NDX Combo: [12315.0] |
