| Note: |
| Futures have held solid gains overnight holding markets just above our zero gamma threshold. 3200 may be the most important level here, as there are a lot of put positions at that strike. They are going to provide “leverage” to whatever move we make here. If the market does make a move down through 3225 the gamma at those put positions increases, and may increase dealer selling through that 3200 level. Conversely if we rally and implied volatility (VIX) get crushed puts can be sold, causing dealers to buy back short hedges. Therefore we seem setup for a fairly large move here with fuel to push either way. 3300 is still the high gamma strike and resistance on a rally. 3260 (Volatility Trigger) and 3230 (Zero Gamma) should provide an “inner range” for a lower volume move, should that range break we look toward 3300 (High Gamma) and 3200 – thinking those “outer range” levels are tested fairly quickly. |
| Event | Time EST | Actual | Forecast | Previous |
| ISM Manufacturing PMI | 10:00am | 48.5 | 47.2 |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 3240.0 | 3226.0 |
| VIX Ref: | 18.38 | 18.9 |
| Gamma Per Point: | $8,918,320.89 | $-272,263,137.40 |
| Zero Gamma Level: | 3223.0 | 3225.0 |
| Vol Trig: | 3260.0 | 3270.0 |
| High Gamma Strike Resistance: | 3300.0 Size: 3/10 | 3300.0 |
| Put Wall Support: | 3200.0 Size: 3/10 | 3200.0 |
| Call Wall Strike: | 3300.0 Size: 3/10 | 3300.0 |
| CP Gam Tilt: | 1.0 | 0.9 |
| Net Delta: | $4,063,211,804.00 | $3,295,325,452.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 3300.0, 3350.0, 3400.0, 3325.0, 3375.0
The Volatility Trigger has moved DOWN: 3260.0 from: 3270.0 |