Futures are up slightly to 4284. Our Call Wall has rolled higher for SPX (4400) but remains at 430 SPY and 335 QQQ. Resistance above sits at 4300 & 4325. Support is at 4260(SPY425) to 4250.
Today also marks the lowest volatility estimate (0.99%) that our SG model has forecast in some some. This syncs with our view that trading ranges would consolidate this week into Fridays OPEX.
The SPX Call Wall rolling to 4400 is a function of large puts being added to the 4300 level. Essentially 4300 has become a “straddle” position (& our Absolute Gamma Strike), and the addition of those puts shifts the largest net positive gamma level to 4400. 4400 is not a particularly level call level, and our view remains that 430SPY/4300SPX is the max target area into tomorrow.
The amount of gamma expiring tomorrow was reduced some to ~25%, with nearly 40% of single stocks holding their largest gamma expiration. Based on this, our anticipation is still for volatility to expand into next week.
A visual of this gamma reduction is shown below, and the drop that coincides with tomorrow’s expiration suggests lower positive gamma, which is associated with higher volatility.
Lastly, a quick note on the BBBY saga. The options complex for BBBY is not terribly large, however nearly 70% of it is concentrated in Fridays expiration. The stock is at $20 premarket (-$3 from y’day close) and while we see some support at $18 into tomorrow, and we estimate that there are fair number of short puts (dealer long) which may offer a bit of support into exp.
Into next week there is little holding this thing up until $14. Its under $14 wherein options gamma dies off which can be associated with a drop in volatility (aka relief). This is implied from how the gamma curves plotted below flatten out in the $14-10 range.
Note, too, that BBBY is now available in the HIRO dashboard.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4274 | 4274 | 426 | 13470 | 328 |
| SpotGamma Imp. 1 Day Move: Est 1 StdDev Open to Close Range |
0.99%, | (±pts): 42.0 | VIX 1 Day Impl. Move:1.26% | ||
| SpotGamma Imp. 5 Day Move: | 2.88% | 4279 (Monday Ref Px) | Range: 4156.0 | 4403.0 | ||
| SpotGamma Gamma Index™: | 0.94 | 1.35 | -0.02 | 0.02 | -0.04 |
| Volatility Trigger™: | 4195 | 4195 | 426 | 12790 | 329 |
| SpotGamma Absolute Gamma Strike: | 4300 | 4300 | 430 | 13600 | 325 |
| Gamma Notional(MM): | 290.0 | 219.04 | -117.0 | 5.0 | -239.0 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4218 | 4218 | 0 | 0 | 0 |
| Put Wall Support: | 4000 | 3900 | 400 | 11000 | 300 |
| Call Wall Strike: | 4400 | 4300 | 430 | 14000 | 335 |
| CP Gam Tilt: | 1.27 | 1.12 | 0.96 | 1.35 | 0.86 |
| Delta Neutral Px: | 4112 | ||||
| Net Delta(MM): | $1,987,786 | $1,932,692 | $215,571 | $69,706 | $117,404 |
| 25D Risk Reversal | -0.04 | -0.04 | -0.05 | -0.05 | -0.05 |
| Call Volume | 568,718 | 528,476 | 1,440,571 | 6,583 | 700,293 |
| Put Volume | 905,909 | 806,204 | 2,625,735 | 8,205 | 1,104,200 |
| Call Open Interest | 6,531,049 | 6,326,704 | 7,656,333 | 70,598 | 4,388,338 |
| Put Open Interest | 11,459,888 | 11,335,954 | 14,311,522 | 77,526 | 7,971,289 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4300, 4250, 4200, 4000] |
| SPY: [430, 425, 420, 415] |
| QQQ: [335, 330, 325, 320] |
| NDX:[14000, 13600, 13500, 12500] |
| SPX Combo (strike, %ile): [4398.0, 4300.0, 4351.0, 4325.0, 4308.0] |
| SPY Combo: [439.02, 429.21, 434.33, 431.77, 430.06] |
| NDX Combo: [13740.0, 13121.0, 13201.0] |
