What was a quiet day ended with a bang – the SPX gained ~20 handles in the final ~30 minutes. SPX options volume was strong at 1.3mm contracts, with the VIX higher 4.6% (.74pts). That is a strange divergence to go with a strange move into the close. Given this large move the S&P still only close +18bps on the day.
Our friends at ZeroHedge posted a large piece about the upcoming rebalance which essentially outlines what we have been forecasting: this expiration could be a catalyst for large volatility. Along with that they note how low realized volatility is, which echoes what we noted this morning: that this could be a sensible time to consider some volatility protection.
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: | 4255 | 4254 | 425 | 14117 | 344 |
| SpotGamma Imp. 1 Day Move: | 0.72%, | 31.0 pts | Range: 4224.0 | 4286.0 | ||
| SpotGamma Imp. 5 Day Move: | 4248 | 2.05% | Range: 4161.0 | 4335.0 | ||
| SpotGamma Gamma Index™: | 1.05 | 1.05 | 0.24 | 0.04 | 0.02 |
| Volatility Trigger™: | 4195 | 4195 | 420 | 13490 | 339 |
| SpotGamma Absolute Gamma Strike: | 4225 | 4225 | 425 | 14000 | 340 |
| Gamma Notional(MM): | $648 | $640 | $1,424 | $6 | $460 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4223 | 4209 | 0 | 0 | 0 |
| Put Wall Support: | 4000 | 4000 | 410 | 13200 | 320 |
| Call Wall Strike: | 4275 | 4275 | 425 | 14000 | 345 |
| CP Gam Tilt: | 1.29 | 1.35 | 1.45 | 1.64 | 1.44 |
| Delta Neutral Px: | 4046 | ||||
| Net Delta(MM): | $1,523,495 | $1,523,316 | $204,041 | $38,530 | $76,924 |
| 25D Risk Reversal | -0.05 | -0.05 | -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: [4281.0, 4259.0, 4306.0, 4264.0, 4332.0] |
| NDX Combo: [14272.0, 14484.0, 14061.0, 14145.0, 14117.0] |
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