Futures are up slightly to 3925. There was little change to levels overnight, with 3900 key support. Beneath there we see support at 3855 (SPY 385). Resistance shows near 3950 then 4000.
Volumes were quite light yesterday as the S&P was unable to pull away from the 3900 strike. That strike is where the large volume was held (~100k) suggesting it should continue to function as support for today.
We look for market movement to remain low today, but to increase into Thursdays due to both the JPM quarterly roll and quarter end equity flows. The significant gamma position remains up at 4000, which is obviously quite achievable into Fridays close.
In yesterdays AM note we highlighted our RiskReversal indicator was showing a bid starting into puts, but that seemed to have flatted out into last nights close. Further, if you look at the SDEX (Nations Skew Index, below) you can see their measure of skew is down near YTD lows. This suggest that OTM puts are not yet catching a bid.
Its likely chatter around the JPM roll begins to increase over the next few sessions. The current JPM position does not offer much impact to the market, as only ~4% of total SPX deltas are expiring for 6/30. Currently, the key component to this trade is that a deep in the money put (6/30 4285) is going to be exchanged for a new collar position out in September.
We think its very difficult to assess the net market impact of positioning into the new collar, as its becoming increasingly visible. This visibility may indicate that the fund starts to adjust how it implements the trade.
From our perspective the measurable impact of the trade was from 6/17/22 June monthly OPEX into this Thursday, wherein dealers could lean on the the 6/30 exp 3620 put they were likely long (meaning they could sell vol against that long). We discussed this a few weeks back, here.
If you consider the paragraph above with the way that our Risk Reversal and the SDEX is positioned (i.e. IV is down) then this syncs with our feeling that IV and put demand may increase as we head into July in part due to the fact that dealers lose this downside put to lean on.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 3900 | 3892 | 388 | 12008 | 292 |
| SpotGamma Imp. 1 Day Move: Est 1 StdDev Open to Close Range |
1.28%, | (±pts): 50.0 | 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™: | -0.65 | -0.52 | -0.15 | 0.01 | -0.04 |
| Volatility Trigger™: | 3910 | 3910 | 390 | 11140 | 291 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 380 | 11150 | 300 |
| Gamma Notional(MM): | -377.0 | -433.3 | -764.0 | 2.0 | -292.0 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4002 | 4024 | 0 | 0 | 0 |
| Put Wall Support: | 3700 | 3700 | 380 | 11000 | 280 |
| Call Wall Strike: | 4100 | 3950 | 396 | 11150 | 298 |
| CP Gam Tilt: | 0.79 | 0.73 | 0.7 | 1.17 | 0.8 |
| Delta Neutral Px: | 4016 | ||||
| Net Delta(MM): | $1,392,110 | $1,476,525 | $151,367 | $46,904 | $98,086 |
| 25D Risk Reversal | -0.05 | -0.07 | -0.03 | -0.06 | -0.06 |
| Call Volume | 388,177 | 565,815 | 1,487,905 | 6,893 | 621,399 |
| Put Volume | 695,753 | 1,084,932 | 2,064,898 | 5,138 | 672,446 |
| Call Open Interest | 5,587,120 | 5,402,732 | 6,651,861 | 59,486 | 4,364,784 |
| Put Open Interest | 9,157,616 | 9,465,615 | 9,966,607 | 48,467 | 6,270,460 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4000, 3950, 3900, 3800] |
| SPY: [400, 390, 385, 380] |
| QQQ: [300, 295, 290, 280] |
| NDX:[12500, 12000, 11250, 11150] |
| SPX Combo (strike, %ile): [3787.0, 3803.0, 3940.0, 3889.0] |
| SPY Combo: [377.38, 378.93, 392.54, 387.48] |
| NDX Combo: [11708.0] |
