|Futures recover a bit overnight to the 3350 area but there are some big changes in levels. First we saw the Zero Gamma level shift to 3290 which reinforces our thought that 3300 has to hold. You’ll see that notional gamma values were all heavily slashed with Q’s particularly in the red. One thing that catches my eye this morning are the OI change metrics here. Strangely we saw IN THE MONEY calls net closed, but no puts net closed. Very curious that into all time highs we see call positions closed at ~3100-3275. I would have thought some puts would be closed/rolled out, but it was net additions across the board. It would be quite curious to cross refence these ITM call closings and some of those futures prints from yesterday.
A second thing to note is that the large Combo areas are all >3360 with only two relatively small bars below at ’37 and ’13. What this implies is positive but light support into 3300. There are large gamma areas at 3250 and 3200 which may help provide some stops *if* a larger selloff ensues. As mentioned yesterday we still see the bull trend intact until a break of 3300.
For today we still do have some positive gamma with 3300 key support. Overhead resistance is 3350 and 3363.
|3400 top of the range, 3200 bottom into August expiration.|
|Core CPI m/m||0.2%||0.2%|
|Crude Oil Inventories||10:30am||-3.4M||-7.4M|
|Signal Name||Latest Data||Previous||SPY||NDX||QQQ|
|SG Gamma Index™:||0.71||0.88||0.04||0.01||-0.04|
|SGI Imp. 1SD Move:||0.85%,||28.0 pts, Range:||3319.0 | 3375.0|
|SGI 5 Day||3352.5||2.32%||3269.0 | 3425.0|
|Zero Gamma Level(ES Px):||3289||3245||—|
|Vol Trigger™(ES Px):||3210||3210||334||10425||267|
|High Gamma Strike Resistance:||3400||3400||340||10625||275|
|Top Abs. Gamma Strike:||3300||3300||330||10625||260|
|Put Wall Support:||3000||3000||320||10000||260|
|Call Wall Strike:||3400||3400||340||10625||275|
|CP Gam Tilt:||1.39||1.48||1.18||1.37||0.73|
|Delta Neutral Px:||3119.0|
|25D Risk Reversal||-0.08||-0.07||-0.08||-0.1||-0.09|
|Top Absolute Gamma Strikes:
SPX: [3350, 3300, 3250, 3200]
SPY: [335, 330, 325, 320]
QQQ: [270, 265, 260, 250]
NDX:[11000, 10700, 10625, 10000]
SPX Combo: [3414.0, 3363.0, 3387.0]
NDX Combo: [11125.0, 10906.0, 10786.0]
SPX resistance is: 3400. Support is: 3300 .Reference ‘Intraday Support’ levels for support areas.
The total gamma has moved DOWN: $513.07MM from: $529.00MM
Gamma is tilted towards Puts, may indicate puts are expensive
Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5%