| Futures push higher to ~3315 and we show the VIX testing 23. The other day we mentioned the breakdown in realized volatility, and that seems to have picked up steam given the “pin” type movement of the last few days (chart). This may of course impact implied volatility and could continue to be a tailwind for stocks. As mentioned last night, the conundrum is the High Gamma Strike which remains at 3300. Any push beyond that suggests the market is overextended and is pushing beyond the indicative options range. 3350 is building, but needs solid volume today to overtake 3300. What I find interesting is that SPY and Q’s are both above their High Gamma Strikes too. If you cut to the basics on what this suggests, its that there are a lack of overhead calls in SPX/SPY/QQQ. Of course markets can rally on, but our data would disagree. Single stock call positions do continue to build and are approaching previous highs from July – so this may be a driver. Two admin items: |
| Market Outlook: |
| 3300 is the target for August, with 3200 key support. |
| Event | Time EST | Actual | Forecast | Previous |
| ADP Non-Farm Employment Change | 8:15am | 1200K | 2369K | |
| ISM Non-Manufacturing PMI | 10:00am | 55.0 | 57.1 | |
| Crude Oil Inventories | 10:30am | -3.4M | -10.6M |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ |
| Ref Price: | 3311 | 3299 | 330 | 11123 | 270 |
| VIX Ref: | 23.76 | 23.76 | |||
| SG Gamma Index™: | 0.60 | 0.65 | 0.08 | 0.02 | -0.00 |
| Gamma Notional(MM): | $718.00 | $671.00 | $885.00 | $3.00 | $49.00 |
| SGI Imp. 1SD Move: | 0.98%, | 32.0 pts, Range: | 3279.0 | 3343.0 | ||
| SGI 5 Day | 3283.0 | 0.0243 | 3231.0 | 3391.0 | |||
| Zero Gamma Level(ES Px): | 3221.0 | 3177.0 | — | ||
| Vol Trigger™(ES Px): | 3170 | 3170 | 328 | 10150 | 265 |
| High Gamma Strike Resistance: | 3300 | 3300 | 330 | 10625 | 270 |
| Top Abs. Gamma Strike: | 3300 | 3300 | 330 | 10625 | 270 |
| Put Wall Support: | 2900 | 2900 | 310 | 10000 | 250 |
| Call Wall Strike: | 3300 | 3300 | 330 | 10625 | 270 |
| CP Gam Tilt: | 1.71 | 1.67 | 1.41 | 1.53 | 1.06 |
| Delta Neutral Px: | 3086.0 | ||||
| Net Delta(MM): | $10,719.00 | $10,906.00 | $1,808.00 | $282.00 | $586.00 |
| 25D Risk Reversal | -0.08 | -0.08 | -0.08 | -0.08 | -0.08 |
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3300, 3250, 3200, 3100] SPY: [330, 325, 320, 310] QQQ: [270, 265, 260, 250] NDX:[11400, 11000, 10625, 10000] SPX Combo: [3319.0, 3369.0, 3342.0] NDX Combo: [11159.0, 10947.0, 11192.0] SPX is above the Volatility Trigger™, resistance is: 3300 Support is: 3300 The total gamma has moved has moved UP: $718.00MM from: $671.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |