Daily Note:
4160 is the current futures price – flat to last nights close. There was little change in key levels overnight, with our models looking for a 90bps max move with 4200 resistance, 4150 support. We think a break of 4150 brings a quick test of 4100.
Our sentiment remains the same: that markets are poised for volatility but needs a catalyst to get the ball rolling. While we give odds that this volatility expresses in a downward move, we recognize the fact that it can also manifest in a quick move higher.
There is much more pent-up energy in QQQ, which remains under “put” pressure. We see only about 15% of that position rolling of Friday, and that does not give tech much of a “charm” bid (i.e. put options decay leads to dealer short cover). Of particular interest in QQQ is the 330 strike, which stands out as a very large level.
Some are looking to tomorrows 8:30AM EST employment numbers as a catalyst. Tomorrows expiration is not particularly large for any of index/ETF’s and is unlikely to change the “gamma picture” much. It will likely be index/ETF price that first shifts to determine gamma’s influence. Higher prices resolve the volatility risk, lower prices invoke higher risk.
Model Overview:
4100-4250 is the range into May OPEX. Gamma is currently high which should lead to low volatility. As long as markets are >4170 we anticipate a low volatility market which grinds higher.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4162 | 4159 | 415 | 13508 | 329 |
| SpotGamma Imp. 1 Day Move: | 0.91%, | 38.0 pts | Range: 4124.0 | 4200.0 | ||
| SpotGamma Imp. 5 Day Move: | 4185 | 6.64% | Range: 3907.0 | 4463.0 | ||
| SpotGamma Gamma Index™: | 0.43 | 0.41 | -0.07 | -0.01 | -0.15 |
| Volatility Trigger™(ES Px): | 4175 | 4160 | 415 | 13550 | 335 |
| SpotGamma Absolute Gamma Strike: | 4200 | 4150 | 420 | 12850 | 330 |
| Gamma Notional(MM): | $4 | $-7 | $-362 | $-1 | $-889 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level(ES Px): | 4152 | 4148 | 0 | 0 | 0 |
| Put Wall Support: | 4000 | 3900 | 410 | 12500 | 325 |
| Call Wall Strike: | 4200 | 4200 | 420 | 14025 | 340 |
| CP Gam Tilt: | 1.14 | 1.0 | 0.9 | 0.93 | 0.54 |
| Delta Neutral Px: | 3988 | ||||
| Net Delta(MM): | $1,298,783 | $1,345,402 | $194,973 | $40,068 | $84,845 |
| 25D Risk Reversal | -0.08 | -0.08 | -0.07 | -0.08 | -0.08 |
| Top Absolute Gamma Strikes: |
|---|
| SPX: [4200, 4175, 4150, 4000] |
| SPY: [420, 418, 415, 400] |
| QQQ: [335, 330, 325, 320] |
| NDX:[14025, 14000, 13750, 12850] |
| SPX Combo: [4196.0, 4246.0, 4221.0, 4204.0, 4217.0] |
| NDX Combo: [13344.0, 13547.0, 13142.0, 13466.0, 13263.0] |
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