Futures traced a fairly tight range overnight, holding the 3390 level. Flows yesterday created some interesting shifts in the options landscape. Gamma marks remain roughly the same, with 3400 as the key flip line. Our tilt ratios shifted more negative as did our risk reversal indicator. This indicate put positions did gain vs calls.An institution(s) used the dip to add 3500 strike calls, with 30k contracts added yesterday. There was another 20k added to the 3700 strike (see here). Outside of that were more tepid call position adjustments, and there weren’t any particularly notable put additions.
While we did get a strong rush of selling off of the 3400 break yesterday, the updated data seems to confirm last nights reading that the 10/26 OPEX flows and dip buyers forced a market recovery. Its also clear that the selling lacked any real follow through in S&P based on little new SPX put additions.
There is now a big put zone at 3300 and a large call zone at 3500. We maintain that it’s a slippery slope if markets shift lower due to the put positions at 3350 on down. The mechanics of negative gamma could push selling, but there is little dealer buying pressure above 3425 and this picture likely holds into 11/3.
For today 3400 is the key pivot area, with Combo Strike resistance at 3420. To the downside we note 3350 as first support, and expect negative gamma to increase sharply if we test that area.

Macro Note: