| ES futures hit an all time high this morning of 3379. SPY has the notable gamma build and is now >$1bn leading SPX by $250mm. Recall this SPX gamma bubble chart where you can see how the positive gamma position is lighter than it was in Feb ’20. Equities options activity is still dominant. We also wanted to highlight a few charts from @TheMarketEar reflecting options sentiment: –Extreme PC ratio –Cboe PC ratio at lows –Lack of SPX Call excitement This idea that single stocks have more activity and a much more “call heavy” sentiment (than SPX) is nothing new. Recall there is a lot of negative gamma (aka volatility potential) associated with that extreme single stock call position. Obviously extremes can get “extreme-ier”, but its clear more folks are crowding to one side of the boat. For today the data points to another low volatility day with a large Combo strike at 3379. We see 3400 as overhead resistance and 3350 support. |
| Market Outlook: |
| 3400 top of the range, 3200 bottom into August expiration. |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ |
| Ref Price: | 3374 | 3362 | 337 | 11124 | 270 |
| VIX Ref: | 21.22 | 22.13 | |||
| SG Gamma Index™: | 0.90 | 0.90 | 0.11 | 0.02 | -0.01 |
| Gamma Notional(MM): | $882.00 | $720.00 | $1,137.00 | $4.00 | $-53.00 |
| SGI Imp. 1SD Move: | 0.85%, | 29.0 pts, Range: | 3345.0 | 3403.0 | ||
| SGI 5 Day | 3352.5 | 2.32% | 3296.0 | 3452.0 | ||
| Zero Gamma Level(ES Px): | 3249 | 3237 | — | ||
| Vol Trigger™(ES Px): | 3210 | 3210 | 335 | 10425 | 269 |
| High Gamma Strike Resistance: | 3400 | 3400 | 336 | 10625 | 275 |
| Top Abs. Gamma Strike: | 3300 | 3300 | 335 | 11000 | 270 |
| Put Wall Support: | 3000 | 3000 | 335 | 10000 | 260 |
| Call Wall Strike: | 3400 | 3400 | 336 | 10625 | 275 |
| CP Gam Tilt: | 1.94 | 1.72 | 1.59 | 1.55 | 0.95 |
| Delta Neutral Px: | 3113.0 | ||||
| Net Delta(MM): | $11,277.00 | $11,236.00 | $1,928.00 | $300.00 | $620.00 |
| 25D Risk Reversal | -0.07 | -0.07 | -0.08 | -0.09 | -0.08 |
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3400, 3350, 3300, 3200] SPY: [336, 335, 330, 325] QQQ: [270, 265, 260, 250] NDX:[11400, 11000, 10625, 10000] SPX Combo: [3379.0, 3420.0, 3396.0] NDX Combo: [11211.0, 10922.0, 11133.0] SPX resistance is: 3400. Support is: 3300 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $881.00MM from: $719.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |