Futures are higher to 4022. Despite the large price range on Friday there was little change to open interest, or implied volatility, which leaves key SG levels unchanged. Resistance for today is at 4000 – 4010 (SPY 400). Support lies at 3950-3060(SPY395). We continue...
Futures were flat overnight. Key SG levels are unchanged, with 3950 as the pivot, and 4000 as strong overhead resistance. To the downside we mark 3917, and 3900 as support. There were heavy volumes at the key relevant strikes yesterday: +100k calls @ 4000, +100k puts...
Futures are higher to 3989. 4000 is primary resistance today, as it is the largest SPX gamma strike. We also note large gamma at 3985, and 3962. To the downside, 390 SPY (3010 SPX) is the largest SPY gamma strike, and primary support. With that, 3950 is the pivot...
Futures have pushed higher to 4015, and the VIX has dropped to 23. Key SG levels are unchanged, with 4000 serving as major resistance. 3950 is support. We believe yesterday’s rally, which has extended this AM, is related to tomorrows 9AM ET VIX expiration (see...
Futures are flat to Friday’s close at 3950. Key SG levels remain largely unchanged post-OPEX: For today, resistance is at 3950, followed by 4000. Support shows at 3900, then 3860 (SPY 385). We anticipate markets holding a relatively tight trading range in inside of...
Futures were flat overnight, holding 3990 (3950 SPX cash equivalent). With yesterdays market push higher, we now see 4000 as the strike with the largest gamma, and maximum resistance for today. First resistance lies at 3968. 3950 is our pivot line, with 3900 support....
Futures are up slightly to 3925. Key SG levels are unchanged, with first support at 3850, and major support at the 3800 Put Wall. Resistance lies at 3900, followed by 3950. This morning we are monitoring the dual factors of charm and implied volatility. First, in...
Futures have moved sharply lower, to 3900. The decline in futures appears to be triggered by concerns with European banks. The ES near 3900 implies that the S&P will open at 3850, our first support level. Below there, our most critical support level remains at the...
Futures held a 30 point range overnight, trading +50bps to 3905. All eyes are on the 8:30 AM ET CPI. Key SG levels are unchanged, with 3850 SPX showing as first support, followed by the 3800 Put Wall. The Put Wall is the low end of our trading range, and a level we...
June ES Futures are higher to 3912 (+40bps), but well off of overnight highs of 3970. This implies that the cash index will open under the key SPX level of 3900. The VIX is near 30, which suggests traders are looking for ~2% daily moves in the S&P500. For today,...
Futures have drifted lower to 3985 after a quiet overnight session. Key SG levels remain unchanged, with 4000 – 4010 (SPY 400) serving as the pivot. Resistance above 4010 lies at 4050. To the downside we see then 3960 (SPY 395 & 3950 as support. With Powell behind...
Futures have drifted lower to 3985 after a quiet overnight session. Key SG levels remain unchanged, with 4000 – 4010 (SPY 400) serving as the pivot. Resistance above 4010 lies at 4050. To the downside we see then 3960 (SPY 395 & 3950 as support. With Powell behind...