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Informe SG Levels

Jun 14, 2021 | 0 Comentarios

Futures are flat, holding the 4250 area. Today we forecast another tight trading range, with an SG Implied max move of only 31 pts (0.7%). The Call Wall has shifted up to 4275 which is now our overhead resistance line. 4225 is first support.

Currently the two dominant strikes are 4225 in the SPX and 425 in the SPY. This equates to a fairly heavy band of gamma from 4250-4275 in the S&P500. This range likely stays in play until 6/18.

Along with that, we see 4200 as our critical support line. Beneath that level its likely that gamma flips negative which can cause a large spike in volatility. As long as the S&P holds that 4200 line, then we look for fairly low volatility & benign movement.

Because of the large amount of gamma expiring Friday we look for expanding volatility heading into next week. We think its a decent time to look at downside protection as puts seems cheap based on implied volatility levels and our Risk Reversal(RR) metric. The current RR reading of 0.05 is near 1 year highs, which infers that puts prices are near lows relative to calls.

Model Overview:

While markets hold 4200 we look for a low volatility grind higher, with 4250 the overhead target. 4160 is the gamma flip line, and therefore critical support.

SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ
Ref Price: 4248 4245 424 14015 341
SpotGamma Imp. 1 Day Move: 0.72%, 31.0 pts Range: 4217.0 | 4279.0
SpotGamma Imp. 5 Day Move: 4248 2.05% Range: 4161.0 | 4335.0
SpotGamma Gamma Index™: 1.04 1.31 0.23 0.04 0.02
Volatility Trigger™: 4195 4220 420 13490 339
SpotGamma Absolute Gamma Strike: 4225 4225 425 14000 340
Gamma Notional(MM): $525 $576 $1,110 $5 $217
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4209 4205 0 0 0
Put Wall Support: 4000 4000 410 13200 320
Call Wall Strike: 4275 4250 425 14000 345
CP Gam Tilt: 1.29 1.29 1.32 1.4 1.17
Delta Neutral Px: 4040
Net Delta(MM): $1,520,989 $1,532,688 $203,566 $38,251 $76,194
25D Risk Reversal -0.05 -0.06 -0.06 -0.05 -0.05
Top Absolute Gamma Strikes:
SPX: [4275, 4250, 4225, 4200]
SPY: [425, 424, 423, 420]
QQQ: [345, 340, 335, 330]
NDX:[14000, 13900, 13800, 13500]
SPX Combo: [4273.0, 4252.0, 4298.0, 4256.0, 4324.0]
NDX Combo: [14165.0, 14375.0, 13955.0, 14039.0, 14011.0]
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