An overnight pop in futures has ES trading at the 4100 Call Wall resistance line. Resistance above shows at the the 412 SPY 412 Call Wall (~4130 SPX). Support shows at 4050.
Our general SG model assigns a bullish edge to markets while the SPX > Vol Trigger (currently 3990). Along with that we see major resistance as the Call Wall strike (currently 4100), and our view is that the market is overbought if/when the S&P > Call Wall. When the Call Wall rolls higher we see it as bullish, and we raise our max resistance line.
It does not appear the SPX Call Wall will roll higher for Monday, but we edge major resistance slightly higher due to the 412 SPY Call Wall (which has large notional value). The 315 QQQ Call Wall is also 1% above, which supports resistance more in the 4130 area for SPX.
On this point we still see a bit more flattish gamma in QQQ, with Call Wall resistance slightly higher vs SPX. This may mean that QQQ has more volatility, which is often the case. It’s particularly notable here due to possible ATMSPX resistance.
The second bullish piece is looking for the VolTrigger to slide higher, in conjunction with the Call Wall. This suggests that options hedges are filling in underneath, which we view as support. A large gap between where the market is trading and the Vol Trigger suggests an “air pocket” underneath. You can get a visual on how levels interact here.
Call positions are what drives positive gamma in our models, which we believe suppresses volatility. Looking at our historical data (available for download on the portal), you can see that we’ve built a small positive gamma position, which has occurred only one other time in ’22 (March). Note how much more positive gamma held throughout nearly all of ’21 (left of the red box).
March of ’22 was a rally fueled by Chinese easing, FOMC & quarterly OPEX. In this case the rally was triggered initially by June quarterly OPEX and an FOMC kicker. Markets are now approaching the magnitude of that March rally as shown below.
If the Call Wall continues to roll higher, and SPX > Vol trigger then our models continue to assign a bullish edge. This should be considered the trend, and along that trend we can have mean reversion on a daily basis (i.e. overbought & oversold) 4000 is likely to remain a large gamma strike, and support, for some time.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4071 | 4074 | 406 | 12717 | 309 |
| SpotGamma Imp. 1 Day Move: Est 1 StdDev Open to Close Range |
1.22%, | (±pts): 50.0 | VIX 1 Day Impl. Move:1.42% | ||
| SpotGamma Imp. 5 Day Move: | 2.86% | 3962 (Monday Ref Px) | Range: 3849.0 | 4076.0 | ||
| SpotGamma Gamma Index™: | 0.60 | 0.5 | -0.05 | 0.03 | -0.01 |
| Volatility Trigger™: | 3990 | 3960 | 404 | 11750 | 304 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 400 | 12500 | 300 |
| Gamma Notional(MM): | 80.0 | 274.93 | -469.0 | 4.0 | -208.0 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4051 | 3994 | 0 | 0 | 0 |
| Put Wall Support: | 3900 | 3800 | 370 | 11000 | 290 |
| Call Wall Strike: | 4100 | 4000 | 412 | 11925 | 315 |
| CP Gam Tilt: | 1.21 | 1.2 | 0.85 | 1.38 | 0.86 |
| Delta Neutral Px: | 3977 | ||||
| Net Delta(MM): | $1,579,966 | $1,489,394 | $180,570 | $50,795 | $99,989 |
| 25D Risk Reversal | -0.04 | -0.08 | -0.03 | -0.02 | -0.02 |
| Call Volume | 491,632 | 430,909 | 3,044,094 | 4,911 | 961,044 |
| Put Volume | 911,012 | 790,550 | 4,214,888 | 6,090 | 1,228,020 |
| Call Open Interest | 5,898,450 | 5,473,874 | 7,229,398 | 59,367 | 4,273,182 |
| Put Open Interest | 9,818,200 | 9,782,532 | 12,386,905 | 52,162 | 6,748,610 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4200, 4100, 4000, 3900] |
| SPY: [410, 405, 402, 400] |
| QQQ: [310, 305, 300, 290] |
| NDX:[14000, 13000, 12500, 11925] |
| SPX Combo (strike, %ile): [4100.0, 4149.0, 4047.0, 4088.0, 4132.0] |
| SPY Combo: [408.91, 413.79, 403.63, 407.69, 412.16] |
| NDX Combo: [12934.0, 12731.0, 12807.0] |
