Futures are higher to 3750. We’ve seen a general slide lower in key SG levels due to the addition of put positions. In general we are marking 3800 as major resistance, and the gamma flip point. Above that level we believe dealers switch back to a positive gamma stance...
Futures are at overnight lows of 3745 from highs of 3780. We see support in the 3710-3700 area, then 3650. To the upside resistance shows at 3750 & 3800, then 3834. We are looking for very high volatility today as post-FOMC macro adjustments are fueled by the...
Futures are flat to 3850 ahead of the 8:30AM ET CPI. Key levels are unchanged with the exception of the higher Vol Trigger (3805). This metric sliding higher suggests an increase in put gamma positions. Support today shows at the 3834 and 3800 strikes. Below there we...
Futures are down 70bps to 3830. There were no material changes to SG levels overnight, with resistance at 3852 and 3876. Support shows at 3837 then 3800. While the S&P remains above 3800 our models assign a bullish directional edge to equities. With yesterdays...
Futures were quiet overnight, holding 3800. Key SG levels were little changed. Resistance shows at 3800, 3824 & 3851. Support shows at 3756, then 3700. Our models retain a bullish stance due to SPX trading > Vol Trigger (3865) and implied volatility declining....
Futures have recovered to 3790, after having opened above 3800, then trading down to 3740. For today we see resistance at 3800 then 3835. Support shows at 3760, 3725 then 3700. Our SG Implied Move is quite high at 1.3%, which is a reflection of the gamma which expired...
Futures are higher to start the morning, testing the 3700 level. Support shows at 3659, then 3600. Resistance lies at 3700 then 3750. With this mornings OPEX we see roughly 20% of total SPX options positioning expire, then into the PM we mark roughly 30% of total...
Futures are trading up slightly to 3715, from overnight lows of 3680. Key SG levels are unchanged from yesterdays session, with key support at 3700 then 3652. Resistance shows at 3750 & 3800. 370SPY/3700SPX is the key pivot level into tomorrow as it is the strike...
Futures are down to 3720 from overnight highs of 3775. Major levels are little changed for today. We see resistance at 3757, then 3800. Support shows at 3711 to 3700, then 3651. Our core theme here has been that directional move from last weeks CPI to Fridays OPEX,...
Futures have popped higher to 3730. Resistance shows at 3725 (Vol Trigger) then 3800. Support shows at 3700, then 3649. The Put Wall has rolled up to 3600 (from 3500) which is statistically a bullish signal. We also see the Vol Trigger & Zero Gamma points sliding...
Futures have recovered from Fridays close to 3640. Resistance shows at 3654 then 3700. Support shows at 3600 then 3579. We are still assigning an edge to a move higher for markets into Friday, with 3750 (Vol Trigger) now the overhead target. This is driven by the idea...
Futures are near 3700, up from overnight lows of 3665. Resistance is at 3700, then 3760 (SPY 375 equivalent). Support shows at 3651 and 3600. Our SG Implied move remains very high at 1.3%, as does the VIX implied move at 2%. In other words: volatility is likely to...