| Futures are up ~1% to yesterdays close at 3125 after a fairly calm overnight session. SPX AM options expire at the cash open and so we may see a bit of volatility into and around 9:30EST. SPX PM, SPY and equities are expiring at the close and the S&P Index rebalances which mark the close. This could add up to some strange action late in the day. As so much of the total gamma expires today at the open I would advise a bit more caution around todays levels. We are anticipating very large S&P Index rebalance + ETF flows that can make things a bit tough to forecast. The previous S&P rebalance was pushed back due to covid, so I am told this is kind of a “2 in 1” rebalance.
Our opinion on the options side is some net selling pressure but note for those of you looking at a bearish play, we have seen recent OPEX trend reversals start Monday following expirations. We encourage everyone to go and check out the SPY OI change charts from yesterday. We saw little movement in SPX positions which suggests not much was closed/rolled, buy very large closings in SPY calls <310. I suspect most of this was dividend related and would note that it doesnt look like any of it was rolled to higher strikes. On the equity side we did not see much change in interest levels. For today we are watching 3150 area as resistance and 3100 support. Under 3100 opens things up to a possible expansion in volatility. As we’ve mentioned the last few days we see gamma “deflating” after today, which suggests the ability for the market to produce greater volatility on a move higher, and less immediate fuel for a move lower. That being said a VIX spike and put buying could thrust us into negative gamma quite quickly due to lack of a positive gamma overhead. |
| Market Outlook: |
| June support now sits at 3000, with resistance 3100 and then 3200 based on open interest levels. |
| Event | Time EST | Actual | Forecast | Previous |
| Fed Chair Powell Speaks | 1:00pm |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 3125 | 3093 |
| VIX Ref: | 31.5 | 32.83 |
| SG Gamma Index: | 0.25 | 0.05 |
| Gamma Notional: | $327.00MM | $67.00MM |
| SGI Imp. 1SD Move: | 0.67% | 3105.0 | 3145.0 |
| Zero Gamma Level: | 3040.0 | 3039.0 |
| Vol Trig: | 3055 | 3110 |
| High Gamma Strike Resistance: | 3200 | 3200 |
| Top Abs. Gamma Strike: | 3100 | 3100 |
| Put Wall Support: | 2800 | 3100 |
| Call Wall Strike: | 3200 | 3300 |
| CP Gam Tilt: | 1.2 | 1.04 |
| Delta Neutral Px: | 2913.0 | |
| Net Delta: | $17,186.00MM | $16,946.00MM |
| 25D Risk Reversal | -0.11 | -0.12 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [3200, 3150, 3125, 3100, 3080, 3075, 3050, 3000, 2950, 2900] The Volatility Trigger has moved DOWN: 3055 from: 3110 The PutWall has moved to: 2800 from: 3100 The Call Wall has moved to: 3200 from: 3300 SPX resistance is: 3200. Support is: 3100 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $326.00MM from: $66.00MM Gamma is tilted towards Puts, may indicate puts are expensive Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |