| Futures are testing yesterdays highs after a session that was fairly well bid all night. There were a few intersting changes in open interest from yesterday. For example yesterday saw ~30k calls trade at 3200 & 3150 each, but only a ~1k & ~3k net addition to call positions. There was some decent volumes at higher strikes, so this may be indicative of the rolling process. Notional gamma levels and the SG Index both flipped positive with 3100 now the largest gamma area. It does seem like we lost a lot of put gamma over the last two days, and so this shift higher in notional gamma measures may be more the result of “puts gone bad” rather than a pickup in call activity. We still do not see much structure overhead, with some OI at 3200 but thats about it. If you look at our Combo chart you can see what I mean – no major levels appear there except ~3170. As a result (and from the SPX perspective) the lack of stability is still there.
The move that may be in place here is for markets to continue their run higher, and that could setup a reversal around OPEX. For today we note 3150 as the pivot area with 3100 as support and 3170 resistance. 3200 shows as the larger overhead target. There was an increase in equity call gamma, bringing negative gamma levels back to where they were before last Thursdays crash. This syncs with the “instability” theme and can help push any directional move. |
| Market Outlook: |
| June support now sits at 3000, with resistance 3100 and then 3200 based on open interest levels. |
| Event | Time EST | Actual | Forecast | Previous |
| Building Permits | 1.23M | 1.07M | ||
| Fed Chair Powell Testifies | 12:00pm |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 3134 | 3104 |
| VIX Ref: | 33.25 | 34.31 |
| SG Gamma Index: | 0.21 | -0.20 |
| Gamma Notional: | $228.29MM | $172.40MM |
| SGI Imp. 1SD Move: | 0.89% | 3106.0 | 3162.0 |
| Zero Gamma Level: | 3048.0 | 3019.0 |
| Vol Trig: | 3055 | 3065 |
| High Gamma Strike Resistance: | 3300 | 3300 |
| Top Abs. Gamma Strike: | 3100 | 3000 |
| Put Wall Support: | 2800 | 3040 |
| Call Wall Strike: | 3300 | 3300 |
| CP Gam Tilt: | 1.16 | 1.11 |
| Delta Neutral Px: | 2921.0 | |
| Net Delta: | $17,126.63MM | $16,718.54MM |
| 25D Risk Reversal | -0.12 | -0.12 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [3250, 3200, 3150, 3100, 3080, 3050, 3000, 2950, 2900, 2800] The Volatility Trigger has moved DOWN: 3055 from: 3065 The PutWall has moved to: 2800 from: 3040 SPX resistance is: 3300. Support is: 3100 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $228.00MM from: $172.00MM Gamma is tilted towards Puts, may indicate puts are expensive Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |