| Futures overnight test 2880 before recovering to 2925. Negative gamma levels essentially unchanged. Obviously we are looking for another day of large volatility. Yesterday stretched our Gamma Tilt indicator more extreme and we have added this chart to the subscriber chart area (click Chart link at bottom of this note). I do feel that the farther and faster this gets pulled down the larger the snap back rally will be – but again that rally could be in the context of a larger bear market. Todays options expiration is of decent size (and mainly puts) and there is a bit more size expiring next week (post Super Tuesday) but the bulk of the put options sit in March monthly OPEX (3/20). I bring this up because if I was looking for a big “delta bump” from lots of puts expiring thats probably not the case today. The idea being OPEX forces put holders to close or roll positions (or let them expire) – point is that should push dealers to buy back some futures. Bottom line is that we can easily get moves like we did yesterday – but with added dimensions of Friday (weekend hedging?) and month end flows from asset managers. |
| Event | Time EST | Actual | Forecast | Previous |
| Core PCE Price Index m/m | 0.2% | 0.2% | ||
| Personal Spending m/m | 0.3% | 0.3% | ||
| Chicago PMI | 9:45am | 46.1 | 42.9 |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2928.25 | 2949.25 |
| VIX Ref: | 41.02 | 39.16 |
| Gamma Per Point: | $-2,065,886,353.39 | $-2,048,704,621.99 |
| Zero Gamma Level: | 3147.0 | 3169.0 |
| Vol Trig: | 3215.0 | 3220.0 |
| High Gamma Strike Resistance: | 3400.0 Size: 65/10 | 3400.0 |
| Top Abs. Gamma Strike: | 2900.0 | 3000.0 |
| Put Wall Support: | 2900.0 Size: 9/10 | 2950.0 |
| Call Wall Strike: | 3056.0 Size: 0/10 | 3056.0 |
| CP Gam Tilt: | 0.27 | 0.27 |
| Net Delta: | $-10,417,520,827.00 | $-9,592,177,864.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 3400.0, 3300.0, 3250.0, 3450.0, 3500.0
The Volatility Trigger has moved DOWN: 3215.0 from: 3220.0 |