Futures are off slightly to 4290. Most critically for our data here is the Call Wall(s) which did not roll higher from 430/4300 for SPY/SPX nor 335 for QQQ. We view moves over the Call Wall level as overbought until/unless the Wall rolls higher. Resistance above 4300 appears at 4323 and 4348. Support shows at 4260 (SPY 425) to 4250.
During the last several VIX expirations we spent a great deal of time highlighting the strengths of moves on the Tuesday heading into VIXexp. We do not think the setup is the same heading into this VIX expiration – primarily because the VIX is already pressing a short term lower bound with small put positions below. This is plotted here, with low put interest <=20 which is where the VIX is currently calculated (compare to June).
In regards to the Call Wall, as we said yesterday we do not think the level rolls higher before Friday’s OPEX. We did see some trading up at 440/4400 strikes, but SPY 430 is a very large level as shown below. In this same vein we’d anticipate volatility continuing to reduce into Friday as hedging flows concentrate incrementally toward expiration.
We think this setup favors mean reverting price behavior due to the OPEX pinning effect, wherein markets pin to large gamma strikes at expiration.
Currently we see >=30% of total S&P gamma rolling off Friday, we anticipate the walls will likely shift and volatility expands into next week.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4296 | 4296 | 428 | 13667 | 333 |
| SpotGamma Imp. 1 Day Move: Est 1 StdDev Open to Close Range |
1.09%, | (±pts): 47.0 | VIX 1 Day Impl. Move:1.25% | ||
| SpotGamma Imp. 5 Day Move: | 2.88% | 4279 (Monday Ref Px) | Range: 4156.0 | 4403.0 | ||
| SpotGamma Gamma Indexâ„¢: | 1.46 | 1.54 | 0.09 | 0.02 | 0.01 |
| Volatility Triggerâ„¢: | 4145 | 4145 | 426 | 12840 | 322 |
| SpotGamma Absolute Gamma Strike: | 4300 | 4300 | 430 | 12500 | 325 |
| Gamma Notional(MM): | 446.0 | 543.23 | 182.0 | 3.0 | 18.0 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4209 | 4177 | 0 | 0 | 0 |
| Put Wall Support: | 4000 | 4000 | 400 | 11000 | 300 |
| Call Wall Strike: | 4300 | 4300 | 430 | 14000 | 335 |
| CP Gam Tilt: | 1.51 | 1.39 | 1.07 | 1.29 | 1.01 |
| Delta Neutral Px: | 4103 | ||||
| Net Delta(MM): | $1,918,480 | $1,835,146 | $212,056 | $73,221 | $114,832 |
| 25D Risk Reversal | -0.04 | -0.04 | -0.05 | -0.05 | -0.05 |
| Call Volume | 522,002 | 429,029 | 1,433,818 | 8,479 | 550,967 |
| Put Volume | 817,463 | 855,235 | 2,101,464 | 7,426 | 947,013 |
| Call Open Interest | 6,249,457 | 6,062,078 | 7,465,073 | 67,496 | 4,292,389 |
| Put Open Interest | 11,104,674 | 10,947,409 | 13,579,973 | 72,913 | 7,566,993 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4300, 4250, 4200, 4000] |
| SPY: [430, 425, 420, 415] |
| QQQ: [335, 330, 325, 320] |
| NDX:[14000, 13500, 13000, 12500] |
| SPX Combo (strike, %ile): [4301.0, 4348.0, 4323.0, 4400.0, 4310.0] |
| SPY Combo: [429.29, 434.01, 431.43, 439.15, 430.15] |
| NDX Combo: [13749.0, 13954.0, 13995.0, 13544.0] |
