| Note: |
| Nice move up in futures overnight pushes the high gamma strike to 3325 which is where we’d see resistance. We would look to 3300 as support. 3350 is very close in “gamma size” to 3325 (note 3350 is the “call wall strike” – its a leading indicator of our target level) and we’d watch options volumes closely for indications of large trading there. Overall gamma is quite large at ~$2bn indicating that we are in a mean reverting, lower volatility type market now. |
| Event | Time EST | Actual | Forecast | Previous |
| ADP Non-Farm Employment Change | 8:15am | 157K | 202K | |
| ISM Non-Manufacturing PMI | 10:00am | 55.1 | 55.0 | |
| Crude Oil Inventories | 10:30am | 2.9M | 3.5M |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 3320.0 | 3300.0 |
| VIX Ref: | 15.81 | 15.91 |
| Gamma Per Point: | $1,983,786,694.55 | $1,497,219,995.95 |
| Zero Gamma Level: | 3237.0 | 3218.0 |
| Vol Trig: | 3240.0 | 3240.0 |
| High Gamma Strike Resistance: | 3325.0 Size: 6/10 | 3300.0 |
| Put Wall Support: | 3200.0 Size: 6/10 | 3200.0 |
| Call Wall Strike: | 3350.0 Size: 6/10 | 3350.0 |
| CP Gam Tilt: | 2.18 | 1.79 |
| Net Delta: | $8,542,168,217.00 | $7,382,385,036.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 3325.0, 3350.0, 3330.0, 3300.0, 3400.0
The High Gamma Strike has moved to: 3325.0 from: 3300.0 |