| Trumps speech last night caused an immediate and deep drop in markets causing ES to lock limit during the night. What is quite interesting from an options perspective here is that negative gamma starts to reduce if the market selloff deepens. This is because the bulk of OI is up towards 2800 and we are starting to trade toward the “tails” of that gamma. This means that as we head lower dealer gamma starts to become less of an influence on the markets. There was an interesting note attributed to Goldman that the 3/20 expiration is one of the largest ever non-December expirations (only Sep-2011 higher). I still feel that this OPEX creates a pull higher in the markets, but it is a “timing” issue based on when that OI starts to roll, and this large move down gives me a bit more conviction here. Unfortunately I would imagine this comes more into play next week which is a lifetime in these markets. We also have the March ES futures roll which starts today and that can cause additional volatility in markets. I would like to remind those of you trading short term options to be quite careful here as we have many exchanges locking limit and staff is being shuffled around and/or working from home. Its not inconceivable that the exchange isnt functioning as expiration occurs. Therefore not only are market participants pricing in economic impacts of all the various events but we have very high “operational” risk. |
| Event | Time EST | Actual | Forecast | Previous |
| Core PPI m/m | 8:30am | 0.1% | 0.5% | |
| PPI m/m | -0.1% | 0.5% |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2601.75 | 2739.5 |
| VIX Ref: | 62.33 | 53.21 |
| Gamma Per Point: | $-2,065,986,156.16 | $-2,088,803,978.92 |
| Zero Gamma Level: | 3106.0 | 3053.0 |
| Vol Trig: | 3100.0 | 3140.0 |
| High Gamma Strike Resistance: | 3150.0 Size: 0/10 | 3150.0 |
| Top Abs. Gamma Strike: | 2600.0 | 2750.0 |
| Put Wall Support: | 2600.0 Size: 1/10 | 2750.0 |
| Call Wall Strike: | 2544.0 Size: 0/10 | 2844.0 |
| CP Gam Tilt: | 0.09 | 0.22 |
| Net Delta: | $-17,557,083,413.00 | $-15,099,655,096.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 3150.0, 3250.0, 3425.0, 3400.0, 3225.0
The Volatility Trigger has moved DOWN: 3100.0 from: 3140.0 |