Futures have held flat overnight, trading near 4125. Our Call Wall levels have jumped higher to 420/4200 in SPX, which is now the top end of our trading range. As our volatility estimate is 1.13% for today (46pts), we do not see the Call Wall level(s) in play for today’s session. We do however also note resistance at 4150-4160(SPY415). Support shows at 4100, then 4079.
We did not feel the Call Walls would roll higher for today’s session, but this was an admittedly impressive build at 4200. Markets can obviously consolidate some of last weeks gains (SPX/NDX +4% for the week), but the build in call positions should help dampen volatility outbreaks. In other words larger call positions (and while above the Vol Trigger) we are more likely to consolidate, than crash.
Data from the OCC informs us that the major flows from last week appeared to be long index calls, along with a general pickup in equity puts/calls. This reading of index call buying was some of the largest shown by the OCC since March ’20.
With this data we believe the tone of markets has shifted toward “mean reversion” in the context of positive drift. This comes from the build of call positions vs the large put positions which have controlled markets YTD. Dealers, we believe, should therefore be buying dips and selling rallies which should continue to suppress volatility.
Recall that in put-heavy markets dealers are likely to be trading with market trend, which exacerbates volatility. The put-heavy market also led us to characterize rallies as “short covering” and subject to sharp, complete reversals. However here, since we clearly have call positions building, there should be more stability.
The bullish edge for markets remains intact until/unless markets break below the Vol Trigger(3995).
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4130 | 4138 | 411 | 12947 | 315 |
| SpotGamma Imp. 1 Day Move: Est 1 StdDev Open to Close Range |
1.13%, | (±pts): 46.0 | VIX 1 Day Impl. Move:1.35% | ||
| SpotGamma Imp. 5 Day Move: | 3.12% | 4130 (Monday Ref Px) | Range: 4002.0 | 4259.0 | ||
| SpotGamma Gamma Index™: | 0.67 | 0.62 | 0.01 | 0.01 | -0.00 |
| Volatility Trigger™: | 3995 | 3990 | 409 | 11750 | 309 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 410 | 12500 | 300 |
| Gamma Notional(MM): | 207.0 | 388.92 | -49.0 | 2.0 | -22.0 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4079 | 4057 | 0 | 0 | 0 |
| Put Wall Support: | 3600 | 3900 | 370 | 12500 | 290 |
| Call Wall Strike: | 4200 | 4100 | 420 | 11925 | 315 |
| CP Gam Tilt: | 1.25 | 1.3 | 0.98 | 1.21 | 0.98 |
| Delta Neutral Px: | 4035 | ||||
| Net Delta(MM): | $1,624,938 | $1,606,165 | $181,572 | $61,160 | $98,871 |
| 25D Risk Reversal | -0.05 | -0.05 | -0.04 | -0.04 | -0.04 |
| Call Volume | 578,685 | 491,632 | 1,816,582 | 8,066 | 847,669 |
| Put Volume | 1,083,435 | 911,012 | 3,297,211 | 10,586 | 1,225,470 |
| Call Open Interest | 5,660,705 | 5,898,450 | 6,870,725 | 60,548 | 3,999,404 |
| Put Open Interest | 9,715,238 | 9,818,200 | 11,780,950 | 62,461 | 6,595,524 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4200, 4150, 4100, 4000] |
| SPY: [420, 410, 405, 400] |
| QQQ: [315, 310, 305, 300] |
| NDX:[14000, 13000, 12500, 11925] |
| SPX Combo (strike, %ile): [4201.0, 4151.0, 4102.0, 4250.0, 4159.0] |
| SPY Combo: [418.99, 414.05, 409.11, 423.94, 414.87] |
| NDX Combo: [12935.0, 13129.0, 12806.0] |
