| Note: |
| 3350 remains resistance as overall gamma declines some. Futures tested the 3350 level overnight but were unable to hold. The gamma for strikes overhead did not grow overnight – this is something we’d want to see happen to be bullish. It may be that whatever force was pushing things higher the last several days has becomed tired, and appears the options market is not yet anticipating higher prices. This isnt necessarily bearish – it may just mark more consolidation. If gamma declines under $1bn we would have concern for this rally. |
| Event | Time EST | Actual | Forecast | Previous |
| Average Hourly Earnings m/m | 0.3% | 0.1% | ||
| Non-Farm Employment Change | 163K | 145K | ||
| Unemployment Rate | 3.5% | 3.5% |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 3336.25 | 3348.0 |
| VIX Ref: | 15.29 | 14.96 |
| Gamma Per Point: | $1,907,152,844.30 | $2,039,095,792.43 |
| Zero Gamma Level: | 3237.0 | 3232.0 |
| Vol Trig: | 3240.0 | 3240.0 |
| High Gamma Strike Resistance: | 3350.0 Size: 7/10 | 3350.0 |
| Put Wall Support: | 3100.0 Size: 5/10 | 3100.0 |
| Call Wall Strike: | 3400.0 Size: 5/10 | 3400.0 |
| CP Gam Tilt: | 2.19 | 2.6 |
| Net Delta: | $9,065,300,203.00 | $9,646,387,561.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 3350.0, 3400.0, 3375.0, 3325.0, 3360.0 SPX is above the volatility trigger, resistance is: 3350.0 No Current support until: 3100.0 |
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