Futures have been quiet overnight, holding 3665. All eyes are on the 8:30AM ET jobs report. We show resistance at 4000-4010 (SPY 410). Support shows at 3960 (SPY395) – 3950, then 3910 (SPY390) – 3900).
400SPY/4000SPX is still the dominant strike on the board, and overall our models are now bullish above this level, and bearish below. 390SPY/3900SPX remains the Put Wall, and the bottom of our trading range.
While the macro world is heavily focused on the jobs report, the options market is not anticipating all that much volatility. To this point today’s ATM straddle (ref: 3965) is currently trading at $44, which is just slightly above the SG 1 day implied move estimate of 40 pts (1.0%).
Its not the jobs figure that matters today – its the reaction to the jobs figure that matters. Futures are bound to get a lot of large swings following the 8:30 print, but longs are not safe unless markets can push back above 4010 SPY.
We think that above that 4010 level, hedging flows turn in favor of volatility suppression which is what holds up a rally. Given that markets face a 3 day weekend, a “market friendly” jobs figure should help bring out enough short dated volsellers to help drive higher equity prices (generally traders don’t want to hold short dated, high IV puts over long weekends).
A move that stalls under <=4000 is a major signal that the market is going to quickly fade back down into the <=3950 area.
Into next week, a slide lower here seems easier for this market, given the large put position and related gamma/vanna feedback loop (negative gamma + higher IV drives hedges which push market in its prevailing direction, expanding vol). As we see only ~5% of total gamma for the SPX/SPY/QQQ expiring today, its not a large expiration. There are likely a lot of traders which will be active in today’s expiration, but there aren’t enough puts closing today to remove material put positions and break the feedback loop when you zoom out in time. We continue to watch Sep 16th OPEX as a major date to break this loop.
Those of you more active traders may want to watch this video which shows how to use HIRO’s flow to help confirm major SG levels.
| SpotGamma Proprietary SPX Levels | Latest Data | SPX Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 3967 | 3953 | 396 | 12274 | 299 |
| SpotGamma Imp. 1 Day Move: Est 1 StdDev Open to Close Range |
1.0%, | (±pts): 40.0 | VIX 1 Day Impl. Move:1.6% | ||
| SpotGamma Imp. 5 Day Move: | 2.85% | 4058 (Monday Ref Px) | Range: 3943.0 | 4174.0 | ||
| SpotGamma Gamma Index™: | -0.03 | -1.37 | -0.34 | -0.00 | -0.15 |
| Volatility Trigger™: | 4000 | 4000 | 400 | 12850 | 320 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 400 | 12500 | 300 |
| Gamma Notional(MM): | -24.0 | -730.49 | -1758.0 | -1.0 | -1037.0 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4005 | 4113 | 414.0 | 12337.0 | 325 |
| Put Wall Support: | 3900 | 3900 | 390 | 11000 | 300 |
| Call Wall Strike: | 4005 | 4005 | 398 | 13250 | 303 |
| CP Gam Tilt: | 0.96 | 0.66 | 0.57 | 0.95 | 0.51 |
| Delta Neutral Px: | 4147 | ||||
| Net Delta(MM): | $631,459 | $1,676,324 | $213,799 | $52,731 | $118,002 |
| 25D Risk Reversal | -0.07 | -0.07 | -0.07 | -0.06 | -0.07 |
| Call Volume | 529,916 | 455,151 | 3,095,506 | 9,755 | 1,372,829 |
| Put Volume | 839,379 | 774,044 | 4,267,012 | 8,158 | 1,780,583 |
| Call Open Interest | 2,549,323 | 6,241,276 | 7,799,660 | 64,194 | 4,597,842 |
| Put Open Interest | 3,067,580 | 10,285,498 | 13,021,697 | 79,523 | 7,776,555 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4300, 4200, 4100, 4000] |
| SPY: [400, 395, 390, 380] |
| QQQ: [310, 305, 300, 290] |
| NDX:[13250, 13000, 12500, 12000] |
| SPX Combo (strike, %ile): [3904.0, 3852.0, 4003.0] |
| SPY Combo: [390.08, 384.92, 399.99] |
| NDX Combo: [12299.0, 12091.0] |
