| Futures are testing the 3200 level this morning. The setup compared to Friday actually looks pretty similar: 3200 the major area with gamma flipping around 3150. The High Gamma Strike now sets up around 3300 and if you look at August open interest you will see a decent chunk of calls positioned there so it may be the top of our August range going forward.
One of the things that stands out to us this morning was the jump in the risk reversal price which suggests call prices increased vs puts (chart). Granted this is not a terribly large dataset but its interesting to note that we are approaching the same level in this indicator as when the market last tested 3250. I would like to see the market push through this area without a major jump higher in that 25D price as I would read it as a more “stable” move in markets. Fresh market highs with extreme call:put prices would not be a great look. The other thing I am watching today is the Combo chart (2nd down, here), which shows a fairly thick band of resistance from 3200-3225. This may prove as a tough area for the market to grind through today, and it has been a resistance zone for several days. To the downside we really dont see a significant support level until the 3150 line. |
| Market Outlook: |
| August positions are very light with largest positions appearing around 3000 and 3300. This range will consolidate next week as new positions build. |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ |
| Ref Price: | 3205 | 3213 | 320 | 10620 | 259 |
| VIX Ref: | 26.32 | 25.68 | |||
| SG Gamma Index™: | 0.75 | 0.58 | 0.15 | 0.01 | -0.02 |
| Gamma Notional(MM): | $218.00 | $308.00 | $249.00 | $1.00 | $-205.00 |
| SGI Imp. 1SD Move: | 0.96% | 3175.0 | 3235.0 | |||
| SGI 5 Day | 3205.75 | 2.6% | ||||
| Zero Gamma Level(ES Px): | 3149.0 | 3126.0 | — | ||
| Vol Trigger™(ES Px): | 3145 | 3145 | 321 | 10000 | 259 |
| High Gamma Strike Resistance: | 3300 | 3250 | 323 | 10625 | 260 |
| Top Abs. Gamma Strike: | 3200 | 3200 | 323 | 10625 | 260 |
| Put Wall Support: | 3000 | 3000 | 321 | 8500 | 250 |
| Call Wall Strike: | 3300 | 3300 | 323 | 10625 | 260 |
| CP Gam Tilt: | 1.2 | 1.25 | 1.12 | 1.32 | 0.75 |
| Delta Neutral Px: | 3048.0 | ||||
| Net Delta(MM): | $10,935.00 | $10,962.00 | $1,612.00 | $236.00 | $497.00 |
| 25D Risk Reversal | -0.08 | -0.08 | -0.08 | -0.08 | -0.08 |
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3250, 3200, 3100] SPY: [325, 323, 322] QQQ: [260, 257, 250] NDX:[10625, 10600, 10000] SPX Combo: [3225.0, 3200.0, 3206.0] NDX Combo: [10626.0, 10509.0, 10711.0] SPX resistance is: 3300. Support is: 3200 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $217.97MM from: $257.00MM 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% |