Executive Summary
This report provides a detailed analysis of the S&P 500 Index (SPX) and the CBOE Volatility Index (VIX) based on the proprietary JATS PT Daily Range indicator, focusing on Gamma and Charm impacts. The analysis identifies key support and resistance levels, market sentiment, and potential outcomes in the short term. The JATS PT Indicator is a proprietary tool developed for NinjaTrader, designed to analyze volatility-adjusted ranges, giving traders an edge in identifying pivotal market levels.
Market Overview
SPX Close (September 19, 2024): 5618.89
SPX 14-Day High: 5689.75
SPX 14-Day Low: 5402.62
VIX Close (September 19, 2024): 18.39
VIX Open: 19.39
VIX 14-Day High: 23.76
VIX 14-Day Low: 14.78
JATS PT Proprietary Metrics
JATS PT DAILY 3 (SPX): 68.50
JATS PT DAILY 3 (VIX): 2.20
Interpolated JATS RESULT (SPX): 8.19
Interpolated JATS RESULT (SPX) * VIX: 76.69
These levels reflect the expected daily volatility-adjusted movements and give traders insight into potential price actions.
Key Support and Resistance Levels
Resistance Levels
The table below highlights key resistance levels based on the JATS PT Indicator. These are pivotal points where the market is likely to face selling pressure.
Resistance Level (%)Price (SPX)17% Above5620.2834% Above5621.6851% Above5623.0768% Above5624.4685% Above5625.86200% Above5635.28300% Above5643.47
Support Levels
The table below highlights key support levels where buyers are likely to step in, offering a floor for SPX.
Support Level (%)Price (SPX)17% Below5617.5034% Below5616.1051% Below5614.7168% Below5613.3285% Below5611.92200% Below5602.50300% Below5594.31
Greek Sensitivities: Gamma and Charm
Gamma Impact
Gamma measures the rate of change in Delta with respect to SPX price changes. Higher Gamma values near key strike levels (like 5618.89 and 5625) suggest the market is more likely to experience sharp price movements if these levels are breached.
Gamma Pinning: If the market hovers near these high Gamma levels, large option sellers may hedge aggressively, keeping the market range-bound within 5617-5625.
A breach of 5625 could trigger fast upward price movements, while a drop below 5600 could lead to sharp selling.
Charm Impact
Charm reflects how Delta changes over time, affecting how option buyers and sellers manage positions. Given positive Charm near 5633-5635, call option holders are seeing diminishing deltas, which could limit upside potential, creating resistance.
If SPX moves toward 5635, we may encounter resistance as option buyers reduce exposure and sellers maintain hedges.
Heatmap Visualizations
Gamma Heatmap
Below is a heatmap of Gamma values across different strike prices and days, highlighting key zones where the market might face sudden price shifts.
Charm Heatmap
The heatmap below shows Charm values, indicating how time decay might affect option prices and positions.
VIX and Volatility
VIX Decline: The VIX has dropped from 19.39 to 18.39, signaling that the market expects reduced volatility.
Lower volatility tends to indicate a more stable market, suggesting that traders are less fearful of large price swings.
Market Outlook: Likely Scenario
Range-Bound Market
Given the high Gamma near the current SPX close (5618.89) and the decreasing VIX, the market is likely to remain range-bound between 5615 and 5635. Here’s what to expect:
First Major Resistance: SPX is likely to encounter selling pressure around 5625-5635, with strong resistance at 5635.
First Major Support: If SPX drops, buyers are expected to step in near 5604-5600, providing strong support.
Bullish Bias
Despite the market’s likely range-bound nature, the overall trend shows a slight bullish bias. Should SPX break above 5635, it could open the door to further upward momentum toward 5643.
Watch for a breakout above 5635 to see an acceleration of buying.
Potential downside risk: If SPX breaches 5600, it could test deeper support levels around 5595 and below.
Conclusion
Market Expectation: The SPX is likely to remain within the 5615-5635 range in the short term.
Key Breakout Levels: If SPX breaks above 5635, we could see a move toward 5643. On the downside, a break below 5600 would suggest testing further support at 5595.
Greek Influence: High Gamma near key strike levels will play a significant role in keeping the market stable or triggering sharp movements. Charm’s impact on Delta will also limit upward movement near resistance zones.
Disclaimer
This report is intended for informational purposes only and is not to be construed as investment advice. The analysis provided is based on the proprietary JATS PT Daily Range Indicator, which was developed for NinjaTrader. While we strive for accuracy, market conditions can change rapidly, and past performance is not indicative of future results. Always consult a professional financial advisor before making investment decisions. The author and affiliated parties are not responsible for any losses or damages arising from the use of this report.
Prepared by
Julie Wade
Developed for NinjaTrader
The information provided in this post is for general information purposes only. No information, materials, services, and other content provided in this post constitute solicitation, recommendation, endorsement or any financial, investment, or other advice. Seek independent professional consultation in the form of legal, financial, and fiscal advice before making any investment decision.
Futures and forex trading contains substantial risk. Past performance is not indicative of future results.
See full Disclaimers and Disclosures at Legal.