Gamma holds positive as SPX has staged a small rally back to 3475. Our read on SPX is that this was a consolidation of sorts, and we didnt detect any real hedging flows. The SPY and QQQ are both in negative gamma territory. These products have been more active than SPX which increases their signal value. Its worth scrolling through the various charts today to see the major drops in both Gamma & Delta Tilt. Those reversals do not give one great confidence, but they can often throw off false positives.

In single stocks the Equity Hub snapshots changed a lot. Much of that excessive call gamma is now gone and many names have a larger put vs call position. So the setup to me reads plenty of volatility potential here (moves up or down), but the major shift appears that the “explosive” upside potential has been clipped. We’ve been talking incessantly about the instability of those huge call positions and I think yesterday was constructive in deflating them. This of course does not mean that single stocks cant push lower, I just believe that would be “put driven” rather than “call unwind”.

For today the Vol Trigger has jumped higher to 3425. 3500 remains where the bulk of gamma sits and is our resistance level. Again, with positive gamma our general model is to give dip buyers the benefit of the doubt and this extends over timeframes. Our model to the downside is rather simple: a break of 3450 infers a larger drawdown, particularly if we close below there. We’re referencing 3450 instead of the 3425 Vol Trigger as SPY and QQQ are already in negative gamma territory.