Futures are flat to 4164. Models continue to look for 1% daily moves. Resistance is marked at 4176 and 4200. Support shows in the 4160(SPY415) – 4150 range, then 4100.
The market continues to grind up, but well within the confines of SG models. From a base level when you lay out the large gamma strikes, you can see the mean reversion that is taking place in side of the large strikes. The Call Wall continues to build in size, and the Vol Triggercontinues to slide higher. We view both of these as healthy signals, with bulls continuing to hold the edge until a break of 4075 (Vol Trigger).
Whats interesting here is that while SPX hold a slightly positive gamma position, we see both SPY & QQQ as flat to negative. This implies that there is a bit more volatility potential embedded in markets, and that volatility works both ways (markets move up and down).
We suspect that this model difference lies in the fact that SPY/QQQ positions have more actively rolling vs long term positions.
A quick segue to provide evidence for this activity – see the bar plots below of gamma by expiration. In notional terms there is a great deal more gamma at shorter dated, non-monthly expirations for SPY/QQQ (top) vs SPX (bottom). This is one reason why we’re adamant about marking key SPY/QQQ levels & using combostrikes – the ETF size can often be much larger than SPX. Note, too, that Aug 19th OPEX is building some decent size and is a date to watch.
Back to our original thread – this difference in position duration presents an interesting dichotomy between vanna models wherein the decline in IV is a volatility boost for QQQ/SPY(bottom left) vs drag on SPX. If the S&P tags 4200, that “right-skew” in the model (bottom right) becomes heavier which should start to squash realized volatility. Further a push to 420 SPY & 325 QQQ likely shifts their vanna models to match the SPX.
The point here is that from a volatility perspective, we are still seeing a fair amount of realized volatility (i.e. >1% intraday swings). This suggests there isn’t as much stability in the market as we’d like to see. While our models continue to favor the bullish side, we have to continue applying these asterisks. A single close down 1-1½% places a massive dent in the bullish case, and shifts many of our models back into instability.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4154 | 4165 | 414 | 13253 | 322 |
| SpotGamma Imp. 1 Day Move: Est 1 StdDev Open to Close Range |
1.12%, | (±pts): 46.0 | VIX 1 Day Impl. Move:1.38% | ||
| SpotGamma Imp. 5 Day Move: | 3.12% | 4130 (Monday Ref Px) | Range: 4002.0 | 4259.0 | ||
| SpotGamma Gamma Index™: | 0.84 | 0.24 | -0.03 | 0.01 | -0.00 |
| Volatility Trigger™: | 4075 | 4060 | 412 | 12510 | 314 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 400 | 12500 | 320 |
| Gamma Notional(MM): | 211.0 | 293.29 | -256.0 | 1.0 | -63.0 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4104 | 4083 | 0 | 0 | 0 |
| Put Wall Support: | 3900 | 3900 | 400 | 12500 | 290 |
| Call Wall Strike: | 4200 | 4200 | 420 | 11925 | 325 |
| CP Gam Tilt: | 1.29 | 1.21 | 0.91 | 1.07 | 0.95 |
| Delta Neutral Px: | 4089 | ||||
| Net Delta(MM): | $1,635,665 | $1,616,119 | $192,790 | $63,849 | $102,377 |
| 25D Risk Reversal | -0.07 | -0.08 | -0.05 | -0.07 | -0.07 |
| Call Volume | 483,061 | 382,334 | 1,687,119 | 7,500 | 669,475 |
| Put Volume | 712,618 | 726,177 | 2,633,763 | 5,931 | 1,225,614 |
| Call Open Interest | 5,687,415 | 5,650,688 | 7,125,144 | 60,739 | 3,990,686 |
| Put Open Interest | 10,213,939 | 10,101,458 | 12,809,643 | 65,473 | 7,001,909 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4200, 4150, 4100, 4000] |
| SPY: [420, 415, 410, 400] |
| QQQ: [320, 310, 305, 300] |
| NDX:[14000, 13000, 12500, 11925] |
| SPX Combo (strike, %ile): [4201.0, 4151.0, 4250.0, 4176.0, 4171.0] |
| SPY Combo: [419.01, 414.04, 423.98, 416.52, 416.11] |
| NDX Combo: [13346.0, 13545.0] |
