|Futures are flat to last nights close but did test 3200 overnight. The Zero Gamma levels shifts to 3194, but outside of that levels are unchanged as we await the FOMC. The Combo charts appear to be showing that the 3225-3250 “resistance” area has now shifted up to 3250-3275 indicating the market may now have an easier time pushing a bit higher.
3200 remains our key downside level, should that break we think a test of the Vol Trigger 3170 is likely. As we have mentioned many times before due to negative gamma in equities and a lack of downside protection we remain concerned that under 3200 the market is exposed to a much larger drawdown.
On this equity topic we note that equity gamma does appear to be stalling out. This chart of equity options shows that both gamma and open interest levels are declining. It will be very interesting to see if this trend continues through the FOMC/Earnings events.
|August positions are very light with largest positions appearing around 3000 and 3300. This range will consolidate next week as new positions build.|
|Pending Home Sales m/m||10:00am||15.6%||44.3%|
|Crude Oil Inventories||10:30am||1.0M||4.9M|
|Federal Funds Rate||<0.25%||<0.25%|
|FOMC Press Conference||2:30pm|
|Signal Name||Latest Data||Previous||SPY||NDX||QQQ|
|SG Gamma Index™:||0.34||0.42||-0.01||0.01||-0.07|
|SGI Imp. 1SD Move:||0.89%||3181.0 | 3257.0|
|SGI 5 Day||3231.25 | 2.27%||3146.0 | 3292.0|
|Zero Gamma Level(ES Px):||3194.0||3188.0||—|
|Vol Trigger™(ES Px):||3170||3170||322||10175||263|
|High Gamma Strike Resistance:||3300||3300||330||10625||270|
|Top Abs. Gamma Strike:||3200||3200||320||10625||250|
|Put Wall Support:||2900||2900||315||10000||250|
|Call Wall Strike:||3300||3300||330||10625||270|
|CP Gam Tilt:||1.24||1.19||0.99||1.15||0.6|
|Delta Neutral Px:||3092.0|
|25D Risk Reversal||-0.09||-0.09||-0.09||-0.08||-0.08|
|Top Absolute Gamma Strikes:
SPX: [3300, 3200, 3100]
SPY: [320, 315, 310]
QQQ: [260, 257, 250]
NDX:[11000, 10625, 10000]
SPX Combo: [3250.0, 3237.0, 3276.0]
NDX Combo: [10588.0, 10503.0, 10672.0]
SPX resistance is: 3300. Support is: 3200 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved has moved UP: $295.00MM from: $219.00MM
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%