Futures have pulled back to 4140. We anticipate ranges and price action in line with that of the last few sessions. 4100 is major support, with 4150-4160 primary resistance. The 4200 Call Wall is our max overhead level into Friday.
The volatility reduction out of Memorial Day has really been significant. As you can see below there have been many ~1% swings, but those have all held this 4100-4160 range. Further, the VIX/IV has been unable to punch materially lower – and this is reflected in the lower VVIX (see last nights post on VIX puts).
It really seems as if we’ve become range bound through fatigue. Below is open interest and volume for the QQQ, and you can see that we have massive call & put positions open (red box), but volume is waning (black box). We also have IV well of recent highs (bottom pane) which suggests lack of buying demand for options.
This suggests to us that traders that wanted hedges (both tails) got ’em, and now we wait for the FOMC.
This volume attrition also remains on the single stock side. This is shown below wherein we plotted the volume for the stocks which are part of the S&P500 index:
For these reasons we are starting to view next week as a “positional” reset of sorts, wherein the large VIXexp & OPEX are going to clear out a lot of the hedges, and the FOMC will trigger the next directional move with 4300 or 4000 the primary targets into month-end.
6/17 OPEX positions remain put-weighted (aka negative delta) from a gamma/delta perspective, but that weighting “gap” is quickly shrinking. This is due to time decay, but also price action. As we’ve posted earlier, the higher the markets are into next week, the less directional impact OPEX may have. This is due to the put positions deteriorating which removes fuel from hedging being unwound (dealers may have less short hedges to cover if puts are worth less).
If the S&P heads into OPEX >=4200 then we think the OPEX fuel is largely mitigated. While prices are up near 4150, there is still a lot that can happen in the next week: ECB tomorrow, CPI print Friday, VIXexp Wednesday AM.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4159 | 4163 | 415 | 12708 | 309 |
| SpotGamma Imp. 1 Day Move: Est 1 StdDev Open to Close Range |
0.99%, | (±pts): 41.0 | VIX 1 Day Impl. Move:1.51% | ||
| SpotGamma Imp. 5 Day Move: | 2.48% | 4108 (Monday Ref Px) | Range: 4006.0 | 4210.0 | ||
| SpotGamma Gamma Index™: | -0.14 | -0.61 | -0.09 | 0.01 | -0.04 |
| Volatility Trigger™: | 4110 | 4110 | 413 | 11775 | 307 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 415 | 12500 | 300 |
| Gamma Notional(MM): | -243.0 | -162.53 | -515.0 | 1.0 | -317.0 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4204 | 4176 | 0 | 0 | 0 |
| Put Wall Support: | 4000 | 4000 | 400 | 12000 | 300 |
| Call Wall Strike: | 4200 | 4200 | 418 | 11800 | 310 |
| CP Gam Tilt: | 0.97 | 0.92 | 0.83 | 1.06 | 0.81 |
| Delta Neutral Px: | 4251 | ||||
| Net Delta(MM): | $1,793,761 | $1,805,810 | $178,723 | $67,817 | $116,057 |
| 25D Risk Reversal | -0.07 | -0.07 | -0.07 | -0.08 | -0.08 |
| Call Volume | 376,370 | 310,079 | 2,309,705 | 9,415 | 817,732 |
| Put Volume | 747,116 | 648,578 | 3,004,631 | 13,757 | 1,087,701 |
| Call Open Interest | 6,081,900 | 6,026,121 | 7,016,226 | 70,700 | 4,745,858 |
| Put Open Interest | 10,968,735 | 10,779,230 | 11,634,043 | 69,424 | 7,262,690 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4200, 4150, 4100, 4000] |
| SPY: [420, 415, 410, 400] |
| QQQ: [320, 315, 310, 300] |
| NDX:[13000, 12500, 12000, 11800] |
| SPX Combo (strike, %ile): [4039.0, 4239.0, 4089.0, 4189.0] |
| SPY Combo: [403.64, 423.6, 408.63, 418.61] |
| NDX Combo: [12708.0, 12505.0, 12924.0] |
