| Futures were quite flat overnight. There was not much change to gamma levels with from yesterday which is interesting given the 1.5% move higher. We now have less positive gamma then when the market was at this level two days ago. If there is an unique aspect to this its that net gamma is lower, but the ratio of call:put gamma (Tilt) is higher. The action is of course is in single stocks where our total gamma readings show a breakout in call gamma – animal spirits. For today we look for more mean reversion, with 3391 (Combo) resistance and support at 3350. ADMIN: We are going to run a Subscriber Q&A today at 12 EST. Link here. There will be a recording. For those of you using BookMap/Ninja links: |
| Market Outlook: |
| 3400 top of the range, 3200 bottom into August expiration. |
| Event | Time EST | Actual | Forecast | Previous |
| Unemployment Claims | 8:30am | 1120K | 1186K |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ |
| Ref Price: | 3368 | 3371 | 336 | 11128 | 271 |
| VIX Ref: | 22.28 | 22.16 | |||
| SG Gamma Index™: | 0.95 | 0.72 | 0.17 | 0.02 | 0.00 |
| Gamma Notional(MM): | $557.00 | $742.00 | $755.00 | $4.00 | $5.00 |
| SGI Imp. 1SD Move: | 0.79%, | 26 pts, Range: | 3342.0 | 3394.0 | ||
| SGI 5 Day | 3352.5 | 2.32% | 3290.0 | 3446.0 | ||
| Zero Gamma Level(ES Px): | 3244 | 3246 | — | ||
| Vol Trigger™(ES Px): | 3210 | 3210 | 337 | 10425 | 269 |
| High Gamma Strike Resistance: | 3400 | 3400 | 340 | 10625 | 275 |
| Top Abs. Gamma Strike: | 3300 | 3300 | 340 | 11000 | 270 |
| Put Wall Support: | 3000 | 3000 | 320 | 10000 | 260 |
| Call Wall Strike: | 3400 | 3400 | 340 | 11400 | 275 |
| CP Gam Tilt: | 1.47 | 1.71 | 1.31 | 1.54 | 1.0 |
| Delta Neutral Px: | 3139.0 | ||||
| Net Delta(MM): | $11,560.00 | $11,523.00 | $2,033.00 | $308.00 | $639.00 |
| 25D Risk Reversal | -0.07 | -0.08 | -0.07 | -0.08 | -0.08 |
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3400, 3350, 3300, 3200] SPY: [340, 338, 337, 335] QQQ: [272, 270, 267, 265] NDX:[11400, 11000, 10625, 10000] SPX Combo: [3391.0, 3415.0, 3401.0] NDX Combo: [11264.0, 11142.0, 11064.0] SPX resistance is: 3400. Support is: 3300 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $557.03MM from: $741.00MM 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% |