| Futures made a few runs to 3330 overnight but were rejected both times, currently ~3315. Notional gamma levels in SPX & SPY declined presenting some interesting shifts. The High Gamma Strike jumped to 3400, with 3000 the Top Absolute strike. This is because puts were added to 3300 & 3350, with a decent ~10k chunk of calls added to 3400. Technically this is the bullish “roll” we wanted to see higher, if we take issue with it its because its overall just small size. Its also clear some (again small) puts were added yesterday. You can see all the volume shifts here with OI change charts. The other interesting item today is the Combo Chart which has “filled in” a lot. Recall yesterday that 3319 was this very pronounced lone bar but today size is pretty well distributed from 3320-3350(chart). This indicates to us some overhead resistance, and likely more chop/grind similar to the last two days. For today 3300 is support with 3350 the largest resistance, but it appears choppy overhead. Lastly I draw attention to our Risk Reversal price which is matching the highs last seen in early June – just before a ~7.5% drawdown. Doesnt mean it happens this time, but its curious. |
| Market Outlook: |
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| 3300 is the target for August, with 3200 key support. |