| Yesterday appeared to have done a bit more damage to many of our indicators than I was anticipating. The Tilt indicator dropped rather sharply and some of the realized volatility metrics made fresh highs. There was some sizable volume that showed up yesterday at the 2500 strike in both puts and calls, and that is interesting in relation to this “anti gravity” theory. 2500 is now the second largest put OI position and 4th largest call position. Its been weeks since we’ve seen any material call position under 2900. This is activity is similar to what we used to see in the positive gamma days wherein it would appear that some type of at the money straddles would show up, and this is the first time in many weeks we’ve seen something similar. To us this volume gives 2500 more “weight” and we are going to be watching this level as a key area to play off of, particularly if volume continues to print there. |
| Event | Time EST | Actual | Forecast | Previous |
| Unemployment Claims | 3600K | 3283K |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2493.0 | 2460.75 |
| VIX Ref: | 53.25 | 57.07 |
| Gamma Per Point: | $-805.24MM | $-845.06MM |
| Zero Gamma Level: | 3051.0 | 3062.0 |
| Vol Trig: | 3000.0 | 3000.0 |
| High Gamma Strike Resistance: | 2530.0 Size: 0/10 | 2460.0 |
| Top Abs. Gamma Strike: | 2500.0 | 2500.0 |
| Put Wall Support: | 2500.0 Size: 3/10 | 2500.0 |
| Call Wall Strike: | 2530.0 Size: 0/10 | 2455.0 |
| CP Gam Tilt: | 0.56 | 0.51 |
| Net Delta: | $-8,466.08MM | $-9,543.05MM |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 2530.0, 2545.0, 2540.0, 2535.0, 2585.0
The Call Wall has moved to: 2530.0 from: 2455.0 |