| 3270 is the ES high as buyers continue overnight. Whats most interesting about yesterdays data was that calls were net closed at 3250 and added to the 3300 strike. There were also (very) small additions 3260-3290. The net positive gamma added is underwhelming given the strong move to 3250. I bring this up as yesterday we mentioned we’d like to see this area “fill in” with positions to help stabilize the SPX price. There are dozens of charts and stats floating around out there recently talking about SPX breadth, advance/decliners and the like – and I almost feel like the SPX options complex has now too become a byproduct of single stocks (i.e. Why own SPX upside if you can just own FANG?!). If you look at this chart you can see we plotted the positive gamma level as a bubble. The current bubble sizes are quite small compared to the Jan/Feb rally which supports this “lack of call positions” idea. Ultimately this infers there is a lack of stability to this rally as high positive gamma levels are not there to support markets. For today there is a very large Combo support/resistance bar at 3265 with 3250 first support. 3300 is clearly growing in size and becomes the top end of the range should cash open over 3265. |
| Market Outlook: |
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| August positions are very light with largest positions appearing around 3000 and 3300. This range will consolidate next week as new positions build. |