Daily Note:
Large swings in futures overnight. Overnight lows were 4260 before ripping higher to 4315. As such we’ve rerun our models to reflect current ES levels. Regardless, as gamma is quite negative until SPX >4375 then there will be no stability in price.
Key support is at 4302 with resistance at 4375, and 4400. Implied volatility is a huge component of what happens today. As you can see in our vanna models, the SPX is wound very tight. Todays skew to the model (right image) is steeper which implies dealers have more to sell if markets drop, and more to buy if markets increase. QQQ is wound just as tight.
As there is yet another expiration today, that should add to chop and volatility. That being said – we do not see a significant amount of gamma rolling off, however “same day” vol traders will likely be active (see yesterdays note). Our EquityHub model has done well in forecasting major downside inflection points, and we see one today at 4245. There appears to be little resistance on the way up as open interest in the 4350-4360 area was “cleared out” yesterday. If markets can hold 4300 and implied volatility (ie VIX) comes in, then we could stage a serious rip higher. A break of 4300 likely invokes a test of this key 4245 level.
Model Overview:
Large negative gamma position forecasts large, volatility swings. This should continue until/unless the S&P recovers 4400.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4311 | 4310 | 429 | 14650 | 357 |
| SpotGamma Imp. 1 Day Move: | 2.39%, | 103.0 pts | Range: 4208.0 | 4414.0 | ||
| SpotGamma Imp. 5 Day Move: | 2.39% | 4441 (Monday Ref px) | Range: 4335.0 | 4547.0 | ||
| SpotGamma Gamma Index™: | -1.70 | -1.50 | -0.37 | -0.02 | -0.19 |
| Volatility Trigger™: | 4375 | 4375 | 435 | 15075 | 370 |
| SpotGamma Absolute Gamma Strike: | 4450 | 4450 | 430 | 15500 | 360 |
| Gamma Notional(MM): | $-794 | $-562 | $-1,417 | $-2 | $-924 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4408 | 4397 | 0 | 0 | 0 |
| Put Wall Support: | 4200 | 4200 | 430 | 13800 | 350 |
| Call Wall Strike: | 4500 | 4500 | 450 | 15375 | 375 |
| CP Gam Tilt: | 0.6 | 0.6 | 0.64 | 0.82 | 0.51 |
| Delta Neutral Px: | 4289 | ||||
| Net Delta(MM): | $1,394,548 | $1,394,305 | $176,328 | $43,374 | $95,560 |
| 25D Risk Reversal | -0.09 | -0.09 | -0.09 | -0.09 | -0.09 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4450, 4300, 4200, 4000] |
| SPY: [440, 435, 430, 425] |
| QQQ: [370, 360, 358, 350] |
| NDX:[15500, 15375, 15000, 14000] |
| SPX Combo: [4203.0, 4302.0, 4254.0, 4319.0, 4229.0] |
| SPY Combo: [418.42, 428.29, 423.57, 430.01, 421.0] |
| NDX Combo: [14388.0, 14712.0, 14800.0, 14594.0, 14550.0] |
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