Futures have pushed back into the 3950 area – a key pivot area. Support shows at 3935 (Vol Trigger) then 3900. Resistance is at 4000.
All eyes are on the 2pm ET FOMC meeting, which likely triggers the next large directional move. Volatility has been contracting the last 10 days as the market held the 3900-4000 range, and its likely that range releases into tomorrows session. This “range release” likely sparks a new cycle into August OPEX.
Our view has been clear on the “Rally Criteria” (listed above), and if these criteria are met it sparks a feedback loop of declining implied volatility, which when combined with new call positions serves to pull the market higher. This leads to a building of positive gamma which supports markets. The 4100 Call Wall is the obvious, first target.
However if any 3 of those “Rally Criteria” fail, then we feel the market breaks materially lower, which kicks off a downside cycle. This cycle would be characterized by increasing put prices and demand. This creates a reflexive feedback loop of higher negative gamma and volatility which may persist into August OPEX. First target is this case is the 3800 Put Wall.
We think its quite possible for the market to violently swing in the 3900-4000 range today (after FOMC) as traders digest various Fed statements. Note that a clear directional break may be more clear into tomorrows session.
|SpotGamma Proprietary SPX Levels||Latest Data||SPX Previous||SPY||NDX||QQQ|
|SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
|1.13%,||(±pts): 49.0||VIX 1 Day Impl. Move:1.58%|
|SpotGamma Imp. 5 Day Move:||2.86%||3962 (Monday Ref Px)||Range: 3849.0 | 4076.0|
|SpotGamma Gamma Index™:||-0.51||-0.51||-0.21||0.02||-0.08|
|SpotGamma Absolute Gamma Strike:||4000||4000||390||11925||300|
|Additional Key Levels||Latest Data||Previous||SPY||NDX||QQQ|
|Zero Gamma Level:||3990||3977||0||0||0|
|Put Wall Support:||3800||3800||370||11000||280|
|Call Wall Strike:||4100||4100||400||11925||305|
|CP Gam Tilt:||0.85||0.78||0.64||1.33||0.67|
|Delta Neutral Px:||3946|
|25D Risk Reversal||-0.06||-0.06||-0.05||-0.06||-0.05|
|Call Open Interest||5,808,230||5,808,230||6,933,073||59,432||4,175,381|
|Put Open Interest||9,428,957||9,428,957||11,189,640||57,608||6,501,138|
|Key Support & Resistance Strikes:|
|SPX: [4000, 3950, 3900, 3800]|
|SPY: [400, 395, 390, 380]|
|QQQ: [300, 295, 290, 280]|
|NDX:[13000, 12500, 12000, 11925]|
|SPX Combo (strike, %ile): [3901.0, 3909.0, 3850.0, 4003.0, 3999.0]|
|SPY Combo: [388.94, 389.72, 383.85, 399.1, 398.71]|
|NDX Combo: [11930.0, 11906.0]|