| Note: |
| Strong move in futures overnight puts the 3300 high gamma strike in play. There has not been much call gamma registering overhead and we will look for that today as a sign this move high may continue. We would anticipate some resistance at 3300 and support around the 3250-3260 area. We also want to see total gamma build back up over $1bn – while its currently ~$900mm we dont think its terribly stable – meaning we see a bit less resistance for a move down than up. That shouldnt be taken as a bearish call, just a view of support and resistance. |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 3275.0 | 3249.0 |
| VIX Ref: | 16.38 | 18.13 |
| Gamma Per Point: | $905,879,300.27 | $200,405,286.50 |
| Zero Gamma Level: | 3225.0 | 3232.0 |
| Vol Trig: | 3250.0 | 3260.0 |
| High Gamma Strike Resistance: | 3300.0 Size: 5/10 | 3300.0 |
| Put Wall Support: | 3200.0 Size: 1/10 | 3200.0 |
| Call Wall Strike: | 3300.0 Size: 5/10 | 3300.0 |
| CP Gam Tilt: | 1.41 | 1.08 |
| Net Delta: | $6,015,723,100.00 | $4,550,751,755.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 3300.0, 3350.0, 3325.0, 3400.0, 3310.0
The Volatility Trigger has moved DOWN: 3250.0 from: 3260.0 |