|Futures are down testing 3220 area after some poor economic data out of the EU. It appears that VIX 24 wont give up without a fight: VIX now 26. This ~3265 top area has also been tough for the market to break. Our projection after July OPEX was a break of the 3250 top, and we made one poor run at that before being shoved “back into the box” of 3200-3250.
There is an interesting setup here in both QQQ and SPY into expiration – and that is a decent chunk of gamma is expiring as shown in this chart from Nomura (h/t @michaelmottcm). We have been pushing out similar charts in SPX/NDX but not SPY/QQQ – that situation has been rectified with charts here. You can see in the Gamma Projections that both of those ETF’s have much higher gamma now then they will next week. Q’s have been in negative gamma territory for several days and SPY appear quite close. These charts reflect more volatility potential today/tomorrow than next week, and so bears have a short window to spark “dealer assisted” selling. Of course we have jobs this AM and big tech earnings tonight, so the setup is ripe for movement.
For today we have very clear levels: 3200 is our critical support line. Below there we’d look for a larger drawdown due to gamma flipping negative. There are large Combo bars at 3224(pivot support/resistance) and 3260 (resistance).
|August positions are very light with largest positions appearing around 3000 and 3300. This range will consolidate next week as new positions build.|