- Rallies into June OPEX should be categorized as “short covering” and subject to failure.
- We look for a “positive drift” into 6/30 expiration, $4000 is our major upside level into 6/30
- The $3600 JPM 6/30 short put strike (3620) is our major downside support into June 30th
- 6/30 exp removes large put positions and may expose the market to further downside into July
Daily Note:
Futures are trading near 3925, flat to Fridays close. There is a shift higher in our SG implied move to 1.25% with resistance showing at 3950 (Call Wall) then 4000. Support shows at 3900 and 3855 (SPY 385).
Todays data is pretty interesting on a few points. Recall that we had been highlighting that the market could, due to light resistance, run up into 4000. This levels was and is our major upside resistance level into 6/30 OPEX. It seems positions are filling here as we approach that large strike, and it reads like traders buying puts.
Why put buyers? First, we’d generally look for our S.G. implied move to contract as the market goes higher. The fact that our volatility estimate is higher suggests there was a general increase in negative gamma positions on Friday (i.e puts). Synced with this was a drop in the Vol Trigger to 3910 (from 4175) which picks up on ATMpositions increasing.
Finally, we note a change in the Risk Reversal metric to -0.07, which is off from bullish readings of -0.05. This suggests that the flat skew position (which had bullish implications) is steepening (i.e. puts may be catching a bid). Note there can be a bit of noise in this metric, but its clearly worth watching.

The summary here is that for weeks we’ve been suggesting the window was open for a rally after June monthly OPEX (6/17), into June quarterly OPEX (6/30). We also opined that after 6/30 the S&P would lose another tranche of downside hedges, making it vulnerable to lower lows. Todays updated data seems to suggest traders are now accepting this 4000 area as resistance and repositioning into downside protection. 4000 remains our target upside area into Thursday, but we think considering longer dated downside protection here makes some sense.

SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
---|---|---|---|---|---|
Ref Price: | 3912 | 3904 | 390 | 12105 | 294 |
SpotGamma Imp. 1 Day Move: Est 1 StdDev Open to Close Range |
1.25%, | (±pts): 49.0 | VIX 1 Day Impl. Move:1.72% | ||
SpotGamma Imp. 5 Day Move: | 2.84% | 3912 (Monday Ref Px) | Range: 3801.0 | 4023.0 | ||
SpotGamma Gamma Index™: | -0.53 | -1.09 | -0.12 | 0.01 | -0.03 |
Volatility Trigger™: | 3910 | 4175 | 388 | 11070 | 290 |
SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 380 | 12500 | 300 |
Gamma Notional(MM): | -356.0 | -292.3 | -615.0 | 1.0 | -198.0 |
Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
---|---|---|---|---|---|
Zero Gamma Level: | 4014 | 4006 | 0 | 0 | 0 |
Put Wall Support: | 3700 | 3700 | 380 | 11000 | 280 |
Call Wall Strike: | 3950 | 3830 | 395 | 11150 | 292 |
CP Gam Tilt: | 0.82 | 0.81 | 0.75 | 1.1 | 0.85 |
Delta Neutral Px: | 4089 | ||||
Net Delta(MM): | $1,484,135 | $1,515,247 | $158,356 | $55,285 | $99,400 |
25D Risk Reversal | -0.07 | -0.07 | -0.06 | -0.08 | -0.07 |
Call Volume | 565,815 | 431,199 | 2,026,563 | 14,305 | 783,793 |
Put Volume | 1,084,932 | 707,815 | 2,750,648 | 8,338 | 1,121,004 |
Call Open Interest | 5,402,732 | 5,340,431 | 6,579,992 | 58,426 | 4,254,100 |
Put Open Interest | 9,465,615 | 9,351,319 | 10,229,453 | 55,423 | 6,277,382 |
Key Support & Resistance Strikes: |
---|
SPX: [4000, 3950, 3900, 3800] |
SPY: [400, 390, 385, 380] |
QQQ: [300, 295, 290, 280] |
NDX:[13000, 12500, 12000, 11150] |
SPX Combo (strike, %ile): [3814.0, 4018.0, 3830.0, 3865.0] |
SPY Combo: [380.31, 400.59, 381.87, 385.38] |
NDX Combo: [] |






