| 3400 took over as the High Gamma Strike, as 3375 surpassed 3350, too. That means we have a few overhead levels working to “pull” markets higher. If you look at the new OI change chart you can see we had around 9k contracts closed at the 3350 strike yesterday – I would guess those were rolled but it may have helped to explain that sharp rise into the close. You may note we also added yesterdays volume as a chart just below the OI change charts. You can see 3350 was a very active trading strike (side note: I will work to make this more readable by EOD). Total market gamma remains high and we now look at 3350 as support. The stage is set for a rally towards 3400 – but we’d target 3375 as a first stop due to the amount of gamma associated with that strike. It would most likely take some pretty negative news to move markets lower here as the various levels underneath are all fairly robust – indicating solid support. Finally please note Fed Powell speaks today at 10AM. |
| Event | Time EST | Actual | Forecast | Previous |
| Fed Chair Powell Testifies | 10:00am | |||
| FOMC Member Kashkari Speaks | 2:15pm |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 3361.5 | 3353.0 |
| VIX Ref: | 14.89 | 15.05 |
| Gamma Per Point: | $2,243,970,143.93 | $2,161,766,627.14 |
| Zero Gamma Level: | 3245.0 | 3253.0 |
| Vol Trig: | 3270.0 | 3255.0 |
| High Gamma Strike Resistance: | 3400.0 Size: 8/10 | 3350.0 |
| Top Abs. Gamma Strike: | 3350.0 | 3325.0 |
| Put Wall Support: | 3100.0 Size: 4/10 | 3100.0 |
| Call Wall Strike: | 3400.0 Size: 8/10 | 3400.0 |
| CP Gam Tilt: | 2.71 | 2.57 |
| Net Delta: | $10,342,876,169.00 | $9,906,457,662.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 3400.0, 3375.0, 3350.0, 3360.0, 3370.0
The Volatility Trigger has moved UP: 3270.0 from: 3255.0 |