|–> Bullish on a break >4000 SPX.|
–> Bearish while markets hold <4000 SPX.
–> 3900 SPX Put Wall is the bottom of our range.
–> Powell Speaks Thursday, 9/8 at 9:10 AM
–> Mark 9/16 OPEX as a key turning date for markets.
|Ref Price: 3910|
SG Implied 1-Day Move: 1.07%
SG Implied 5-Day Move: 2.92%
Volatility Trigger: 4000
Absolute Gamma Strike: 4000
Call Wall: 4005
Put Wall: 3900
The S&P 500 trended higher, today, from the cash-session open.
In this morning’s note, we called for support at the $3,900.00 SPX with intermediate resistance near $3,950.00, on the path to a likely test of $4,000.00.
$3,900.00 held, as did the intermediate resistances. We foresee an eventual test of $4,000.00, given the neutral-to-positive impact of volatility selling, observed via a lower VIX, today, and divergent HIRO lines, below.
Noteworthy is that our Put Wall shifted back up to $3,900.00 SPX, versus the $3,800.00 quoted this morning. The Put Wall is the level at which put gamma is most concentrated.
When options are further away from current prices, they can be more sensitive to changes in volatility and direction. For this reason, the liquidity provider’s response may compound selling in case of lower prices and higher IVOL.
A catalyst for potential selling may be Jerome Powell’s appearance tomorrow.
On the other hand, if Powell’s comments assuage participants of their fears with respect to monetary policies, that may result in further volatility selling and a bullish boost.
Major supports lie at $3,900.00 and $3,800.00 in the S&P 500. If the index were to trade above $4,000.00, liquidity providers’ response may bolster a relief rally and take stem realized volatility.
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|SpotGamma Proprietary SPX Levels||Latest Data||SPX Previous||SPY||NDX||QQQ|
|SpotGamma Imp. 1 Day Move:||1.07%,||(±pts): 42.0||VIX 1 Day Impl. Move:1.68%|
|SpotGamma Imp. 5 Day Move:||2.92%||3925 (Monday Ref Price)||Range: 3811.0 | 4040.0|
|SpotGamma Gamma Index™:||-1.35||-1.25||-0.39||-0.01||-0.18|
|SpotGamma Absolute Gamma Strike:||4000||4000||390||12500||300|
|Additional Key Levels||Latest Data||Previous||SPY||NDX||QQQ|
|Zero Gamma Level:||4068||4097||408.0||12348.0||323|
|CP Gam Tilt:||0.69||0.63||0.51||0.79||0.43|
|Delta Neutral Px:||4087|
|25D Risk Reversal||-0.08||-0.06||-0.07||-0.08||-0.08|
|Call Open Interest||6,240,514||6,299,057||7,616,385||65,013||4,500,577|
|Put Open Interest||10,936,146||10,389,375||12,816,604||81,820||7,676,596|
|Key Support & Resistance Strikes:|
|SPX: [4000, 3950, 3900, 3800]|
|SPY: [400, 395, 390, 380]|
|QQQ: [300, 295, 290, 285]|
|NDX:[13250, 13000, 12500, 12000]|
|SPX Combo (strike, %ile): [3902.0, 3801.0, 3852.0, 3953.0, 4000.0]|
|SPY Combo: [389.98, 379.82, 384.9, 395.06, 399.75]|
|NDX Combo: [11891.0, 11687.0, 12300.0, 12095.0, 11807.0]|
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