Futures are trading at 4130 after a quiet overnight session. For today we see support at 4100, with resistance at 4160 (SPY 415) then 4200 (Call Wall).
Calls continue to fill into the 4150-4250 which adds to overhead resistance, and a reduction in volatility.
There is currently a large spread between our Vol Trigger level (4100) and Zero Gamma (4209). Recall that the Vol Trigger is a proprietary “gamma flip” calculation which detects a material change in hedging behavior, and when the market is above that level markets should see less volatility.
This implies over 4100 there may be relatively smaller directional swings, and a tendency for markets to mean revert. Over 4200 we would look for positive gamma to exert even more control which leads to even smaller trading ranges (a.k.a. higher resistance).
We anticipate this lower volatility to be start being reflected in the distribution of returns. 5 day realized volatility remains extremely high off of last weeks large moves, and we look for that distribution to consolidate into next week which may draw further vol selling.
To this point we continue to believe traders will seek to sell short dated “Pre-FOMC” options(volatility), particularly on the call side. This may drive compressed trading ranges into that key week of 6/13.
The market dynamic would change on a break below 4100, which likely opens up a test of 4000. This would likely bring a general theme of higher volatility trading, and wider trading ranges.
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| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4133 | 4133 | 412 | 12642 | 308 |
| SpotGamma Imp. 1 Day Move: Est 1 StdDev Open to Close Range |
1.06%, | (±pts): 44.0 | VIX 1 Day Impl. Move:1.66% | ||
| SpotGamma Imp. 5 Day Move: | 2.87% | 4158 (Monday Ref Px) | Range: 4039.0 | 4278.0 | ||
| SpotGamma Gamma Index™: | -0.52 | -0.23 | -0.08 | 0.01 | -0.04 |
| Volatility Trigger™: | 4100 | 4135 | 410 | 11775 | 307 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 400 | 11800 | 300 |
| Gamma Notional(MM): | -350.0 | -319.73 | -466.0 | 2.0 | -283.0 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4209 | 4209 | 0 | 0 | 0 |
| Put Wall Support: | 4000 | 4000 | 400 | 12000 | 300 |
| Call Wall Strike: | 4200 | 4200 | 420 | 11800 | 310 |
| CP Gam Tilt: | 0.87 | 0.84 | 0.81 | 1.17 | 0.8 |
| Delta Neutral Px: | 4256 | ||||
| Net Delta(MM): | $1,770,505 | $1,812,853 | $171,994 | $60,116 | $115,937 |
| 25D Risk Reversal | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 |
| Call Volume | 464,254 | 548,233 | 1,863,871 | 9,345 | 763,336 |
| Put Volume | 825,986 | 1,036,300 | 2,365,755 | 7,022 | 841,568 |
| Call Open Interest | 5,882,990 | 6,006,863 | 6,678,796 | 64,845 | 4,586,887 |
| Put Open Interest | 10,388,365 | 10,489,006 | 10,637,939 | 60,899 | 6,849,719 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4300, 4200, 4100, 4000] |
| SPY: [420, 415, 410, 400] |
| QQQ: [325, 320, 310, 300] |
| NDX:[13500, 12500, 12000, 11800] |
| SPX Combo (strike, %ile): [(4200.0, 81.26), (4175.0, 87.21), (4125.0, 81.57)] |
| SPY Combo: [417.08, 412.12, 419.56] |
| NDX Combo: [12302.0, 12719.0] |
