Futures have recovered some to 4220. The Call Walls have now rolled to 430/4300 which is now the top of our trading range. That level is likely not in play for today, as our forecast is for a 1.06% max move (45 points). We do see resistance levels at 4225 and 4250-4260(SPY 425). Support is at 4200, then 4160 (SPY 415).
What catches our eye this AM (aside from higher Call Walls) is the giant base at 420 SPY. This base seems stable into monthly OPEX. Remarkably we still see SPY & QQQ as holding a negative gamma position, but we continue to estimate implied volatility to decline.
This decline in IV continues to be the trend. This is seen through our RV chart in the 5 day (red) & 1 month(green) plot lines. Declining RV is generally seen as pressuring IV, and lower IVshould suppress volatility. We see this mechanism as bullish.
On this point we have received of late many questions around “What’s the lower bound for VIX?”. Our general guidelines for that are our SG implied move, and 1 month RV (red line above). An RV of .17 translates roughly to 1.06% daily moves – which is what the SG index is for today. We’d expect IV to hold a bit of premium to these figures, and so a VIX of ~18 is probably the lows. This is an “AM sanity check” kind of estimate – not the math you want to arbitrage vol.
|SpotGamma Proprietary SPX Levels||Latest Data||SPX Previous||SPY||NDX||QQQ|
|SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
|1.06%,||(±pts): 45.0||VIX 1 Day Impl. Move:1.27%|
|SpotGamma Imp. 5 Day Move:||3.05%||4144 (Monday Ref Px)||Range: 4018.0 | 4271.0|
|SpotGamma Gamma Index™:||1.01||1.22||-0.03||0.01||-0.04|
|SpotGamma Absolute Gamma Strike:||4200||4200||420||12500||325|
|Additional Key Levels||Latest Data||Previous||SPY||NDX||QQQ|
|Zero Gamma Level:||4152||4122||0||0||0|
|Put Wall Support:||3900||4000||400||12500||320|
|Call Wall Strike:||4300||4200||430||13000||330|
|CP Gam Tilt:||1.32||1.24||0.9||1.39||0.86|
|Delta Neutral Px:||4048|
|25D Risk Reversal||-0.05||-0.06||-0.04||-0.04||-0.05|
|Call Open Interest||6,310,859||5,946,135||7,710,707||65,997||4,369,662|
|Put Open Interest||10,668,640||10,651,307||14,015,584||65,732||7,595,868|
|Key Support & Resistance Strikes:|
|SPX: [4300, 4200, 4150, 4000]|
|SPY: [425, 420, 415, 400]|
|QQQ: [330, 325, 320, 310]|
|NDX:[14000, 13500, 13000, 12500]|
|SPX Combo (strike, %ile): [4299.0, 4249.0, 4198.0, 4224.0, 4274.0]|
|SPY Combo: [429.23, 424.19, 419.15, 421.67, 426.71]|
|NDX Combo: [13531.0, 13119.0]|