- Larger ranges following the July 15 (equity) and July 20 (VIX) options expirations.
- Equity markets may jump into the Wednesday, July 20, 2022, VIX expiration.
- Implied volatility is likely to rise as we approach the July 27, 2022, FOMC event.
Rally Criteria
- QQQ/SPY/SPX > 300/400/4000
- Call positions building overhead (i.e., Call Walls > Absolute Gamma Strikes)
- MOVE Index (i.e., “Bond VIX”) breaking lower.
Daily Note:
Futures are off slightly to 3950, which is large support (Vol Trigger). Additional support shows at 3900. To the upside we see resistance at 3977 and 4000.
The talk of the town is WMT’s miss on earnings(-10% premarket). This is dragging down other large names in sympathy like AMZN & TGT, but likely has little impact on index flows. We think that any sharp directional index move will be met with mean reversion back into the 3950-4000 area.
One of our core themes has been for volatility to reduce if the S&P broke >3900. As you can see below the market has held quite a tight range while >3900, trapped just under the large 4000 level. This decline in realized volatility is reflected in our 5 day RV reading down near 8 (see here) which is near YTD lows.
In other words, this brief respite is as calm a period as we’ve seen all year, and thats likely to give way tomorrow afternoon with FOMC.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 3966 | 3962 | 395 | 12328 | 300 |
| SpotGamma Imp. 1 Day Move: Est 1 StdDev Open to Close Range |
1.13%, | (±pts): 49.0 | VIX 1 Day Impl. Move:1.47% | ||
| SpotGamma Imp. 5 Day Move: | 2.86% | 3962 (Monday Ref Px) | Range: 3849.0 | 4076.0 | ||
| SpotGamma Gamma Index™: | -0.09 | -0.04 | -0.13 | 0.02 | -0.05 |
| Volatility Trigger™: | 3950 | 3920 | 395 | 11750 | 301 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 400 | 11925 | 300 |
| Gamma Notional(MM): | -157.0 | -131.67 | -691.0 | 4.0 | -323.0 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 3977 | 3973 | 0 | 0 | 0 |
| Put Wall Support: | 3800 | 3800 | 370 | 11000 | 280 |
| Call Wall Strike: | 4100 | 4000 | 405 | 11925 | 310 |
| CP Gam Tilt: | 0.97 | 0.92 | 0.75 | 1.37 | 0.77 |
| Delta Neutral Px: | 3993 | ||||
| Net Delta(MM): | $1,478,580 | $1,447,133 | $162,809 | $49,186 | $94,110 |
| 25D Risk Reversal | -0.06 | -0.07 | -0.05 | -0.06 | -0.05 |
| Call Volume | 312,145 | 349,003 | 1,008,658 | 2,835 | 492,712 |
| Put Volume | 639,316 | 761,897 | 1,901,133 | 3,810 | 678,499 |
| Call Open Interest | 5,607,857 | 5,415,122 | 6,682,834 | 58,240 | 3,986,925 |
| Put Open Interest | 9,508,451 | 9,509,905 | 10,969,384 | 52,950 | 6,324,852 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4000, 3950, 3900, 3800] |
| SPY: [400, 395, 390, 380] |
| QQQ: [310, 305, 300, 290] |
| NDX:[14000, 13000, 12500, 11925] |
| SPX Combo (strike, %ile): [4049.0, 3998.0, 3899.0, 4006.0, 3911.0] |
| SPY Combo: [403.88, 398.73, 388.85, 399.53, 390.03] |
| NDX Combo: [] |
