Futures have pushed back to recent highs of 3900. We look for the market to continue pressing 1% daily moves, however volatility should start to trend lower if the market holds 3900. Resistance shows at 3931 and 3947. Support shows at 3900 then 3850.
Our models suggest a bullish edge for markets when the the SPX > Vol Trigger (3840). 4000 remains very large resistance into the FOMC. A major draw down (+1%) is unlikely unless the market breaks 3800.
We’re watching two things here: Wednesday AM VIX expiration & next weeks FOMC.
First, in regards to VIX Expiration we saw the market had major jumps higher the Monday/Tuesday before April/May VIX exp. This seems to be a similar setup here as VIX exp clears out all of these puts in the 20-25 VIX range. With the VIX currently just under 25, we think that VIX exp should drag the general vol complex lower as positions reset. This IV drag is likely an equity tail wind, and we touch on this as the last several VIX expirations have seen very strong “head scratching” equity pops.
You can see the returns around VIX exp here:
And chart here:
In regards to FOMC, we continue to think IV will catch a bid as we approach next week. Further, as we are above the Vol Trigger we see gamma as flat to mildly positive, which suggests that gamma induced volatility is mitigated. Therefore there needs to be another non-options catalyst to drive markets higher (outside of this brief VIX exp window), particularly into the large 4000 resistance line. We think a post-VIX Exp catalyst is unlikely to materialize until after next Wednesdays FOMC.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 3861 | 3848 | 385 | 11983 | 291 |
| SpotGamma Imp. 1 Day Move: Est 1 StdDev Open to Close Range |
1.13%, | (±pts): 44.0 | VIX 1 Day Impl. Move:1.52% | ||
| SpotGamma Imp. 5 Day Move: | 3.05% | 3861 (Monday Ref Px) | Range: 3744.0 | 3979.0 | ||
| SpotGamma Gamma Index™: | -0.48 | -0.92 | -0.14 | 0.02 | -0.03 |
| Volatility Trigger™: | 3840 | 3800 | 384 | 11750 | 290 |
| SpotGamma Absolute Gamma Strike: | 4000 | 3800 | 380 | 11925 | 300 |
| Gamma Notional(MM): | -332.0 | -307.87 | -700.0 | 2.0 | -234.0 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 3931 | 3918 | 0 | 0 | 0 |
| Put Wall Support: | 3700 | 3800 | 370 | 11000 | 280 |
| Call Wall Strike: | 4005 | 3850 | 392 | 11925 | 292 |
| CP Gam Tilt: | 0.83 | 0.83 | 0.72 | 1.28 | 0.81 |
| Delta Neutral Px: | 4006 | ||||
| Net Delta(MM): | $1,381,017 | $1,546,493 | $148,099 | $48,735 | $87,575 |
| 25D Risk Reversal | -0.06 | -0.06 | -0.06 | -0.07 | -0.06 |
| Call Volume | 406,147 | 613,984 | 1,558,771 | 15,301 | 591,894 |
| Put Volume | 728,583 | 949,104 | 2,562,219 | 9,557 | 639,700 |
| Call Open Interest | 5,170,237 | 6,046,924 | 6,310,376 | 55,176 | 3,726,371 |
| Put Open Interest | 8,966,761 | 10,024,193 | 9,985,617 | 52,434 | 5,638,869 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4000, 3900, 3850, 3800] |
| SPY: [385, 380, 375, 370] |
| QQQ: [300, 290, 285, 280] |
| NDX:[13000, 12500, 12000, 11925] |
| SPX Combo (strike, %ile): [3800.0, 3750.0, 3947.0, 3773.0] |
| SPY Combo: [378.97, 373.96, 393.6, 376.27] |
| NDX Combo: [11924.0, 11696.0, 11984.0] |
