| Updated data attached. Gamma is right above the Zero Gamma area and the Vol Trigger (which has been a key level lately) rests at 3130 (ES). Our Combo Strike shows a large area of resistance at 3183 (SPX) which confirms our view of resistance there.
Futures overnight tested the 3115 (ES) level again and are currently heading back towards 3150 resistance. We are still watching 3100 as the key downside level – below there our concern is that negative gamma in SPX kicks in. We have been talking about single stock “negative” gamma for quite some time, and how that can push stocks higher as dealers are forced to buy. Its important to remember that negative gamma “works both ways” and if there is a sentiment shift and stocks drop, dealers will be selling not just ES but likely single stocks, too. This is not to say I am anticipating a selloff today but the risk is high as we have tested that Zero Gamma area twice now. We still give bulls the benefit of the doubt with SPX>3100. To the upside we see 3150 as first resistance and anticipate more resistance at that 3175 area. |
| Market Outlook: |
| July positions remain very light with 3100 the largest strike. We mark 3000 to the downside and a weaker upside target at 3200. |
| Event | Time EST | Actual | Forecast | Previous |
| Core PPI m/m | 0.1% | -0.1% | ||
| PPI m/m | 0.4% | 0.4% |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ |
| Ref Price: | 3131 | 3132 | 313 | 10705 | 257 |
| VIX Ref: | 30 | 29.69 | |||
| SG Gamma Index™: | 0.16 | 0.31 | -0.03 | 0.01 | -0.01 |
| Gamma Notional(MM): | $17.00 | $30.00 | $-295.00 | $2.00 | $-300.00 |
| SGI Imp. 1SD Move: | 1.22% | 3093.0 | 3169.0 | |||
| SGI 5 Day | — | ||||
| Zero Gamma Level(ES Px): | 3107.0 | 3109.0 | — | ||
| Vol Trigger™(ES Px): | 3130 | 3130 | 314 | 9790 | 259 |
| High Gamma Strike Resistance: | 3200 | 3200 | 320 | 10100 | 265 |
| Top Abs. Gamma Strike: | 3100 | 3100 | 310 | 10100 | 262 |
| Put Wall Support: | 2800 | 2800 | 310 | 8500 | 250 |
| Call Wall Strike: | 3200 | 3200 | 320 | 10100 | 265 |
| CP Gam Tilt: | 1.01 | 1.02 | 0.9 | 1.53 | 0.72 |
| Delta Neutral Px: | 3038.0 | ||||
| Net Delta(MM): | $11,165.00 | $11,208.00 | $1,723.00 | $272.00 | $540.00 |
| 25D Risk Reversal | -0.1 | -0.1 | -0.1 | -0.1 | -0.09 |
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3200, 3150, 3100] SPY: [320, 315, 310] QQQ: [262, 260, 250] NDX:[10100, 10025, 10000] SPX Combo: [3178.0, 3153.0, 3169.0] SPX resistance is: 3200. Support is: 3100 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $16.89MM from: $29.00MM 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% |