BY BILL GRIFFO 

December 7, 2023

Morning Income Hunters,

Key Levels to Watch

Short Term SPX Resistance: 4,590

Short Term SPX Support: 4,540

SPX Risk Pivot Level: 4,500

Major SPX Range High/Resistance: 4,600

Major SPX Range Low/Support: 4,200

• A break of 4,500 is the SG “risk off” level.
• 4,600 is the current max upside target, unless we see call positions roll to higher strikes or new buyers come in and shift net-positive gamma above 4600.

Daily Roadmap

SPX futures are unchanged  premarket. Key SG levels for the SPX are:

Support: 4,550, 4,540, 4,515, & 4,500

Resistance: 4,577, 4,590, 4,600, 4,613

1 Day Implied Range: 0.63% (open to close)

QQQ support is at 385 & 380, resistance is at 386 then 390.

IWM support: 181 resistance: 185, then 190.

Trade Strategy

Yesterday’s intraday move covered the 4,550 – 4,600 range that is pinning markets. 

The daily implied move remains very tight at .63%, so today should be another tight trading range with the largest gamma strikes between 4500 and 4600 …

The SPX term structure, shows this morning’s at-the-money IV’s are now up towards 15-16% vs 8-9% a few days ago. But it also is projected to decline back down in the days ahead.

Now, tomorrow is non-farm payroll (NFP), which has the potential to rearrange option positioning, but not in a major way because Monday is a light trading day. 

So, unless the NFP is a massive miss, we’re unlikely to shift out of this 4,500-4,600 range until Tuesday and through the rest of the week …

Here is the spot gamma road map, which shows that a break of either 4500 or 4600 may just be an expansion of the range as opposed to a new trend. 

Lastly, notice the massive January OPEX and the size of call delta (purple) vs puts (teal) for single stocks … As you can see it’s quite a bit larger than the large December OPEX, although Dec is a larger expiration than Jan on the Index side. 

The important point is these are predominantly long calls, meaning option dealers are short calls and long stock hedges. 

The unwinding of these positions could spark some weakness to start next year. 

This will have a major impact on markets and is something to watch as we move forward. 

AAPL’s call wall dropped $5 and NFLX put wall is down $10 … Notice a few stocks turned to bearish bias but the stocks have been gyrating above and below so unless we see follow through on good volume playing the range continues to be the higher probability strategy. 

Have a great day!

Live and Trade with Passion My Friends,

Bill Griffo