|Futures are a bit off last nights closing levels to the 3275 area. As 3300 remains the High Gamma Strike this futures pullback gives us a little breathing room, and we’d like to see call positions build up >3300. We arent picking up much in the way of shifts underneath (call closing, put adding) as indicated by the Vol Trigger which remains at 3170. Due primarily to the decent size in positive gamma the overall data reads as fairly neutral with an edge to grinding higher. That being said I think there can be some interesting short upside volatility plays when we push up against the High Gamma Strike, particularly when VIX remains elevated. This may indicate the market is pricing in a larger upside move than out data would suggest.
The Combo chart is notable again today as that lone large bar around 3330 has now shifted down to 3283 (chart). We obviously mark that as a key level for today, with 3300 the top of the range and 3250 support.