| Futures took another shot at the 3380 level overnight before rejecting and selling off to 3350. There wasnt much change in data levels with the exception of SPY gamma which jumped to $1.1bn overnight. Checkout the slope of that SPY gamma (blue line in SPY chart at bottom) – its very steep! SPY is ~336 preopen, the Vol Trigger is 335 and a lot of gamma packed in around 340. This could put some pressure on markets today to either finally tag that 340/3400 level, or a quick drop if we break that 335/3350. Recall that the Combo Strike measure incorporates SPY gamma, and those levels show some resistance starting around 3372 and building into 3400. That upside picture isnt very unique, but note the downside is showing little in the way of positive gamma (support) bars. You can also see in this chart just how much SPY gamma is expiring today, and where its concentrated. This could be an interesting day.
For today we note support at 3350 but think a retest of 3300 could happen quite quickly on a break of 3350. We look for resistance at 3372 and 3390. Due to all this SPY gamma things could get a bit more volatile than the SGI index implies. |
| Market Outlook: |
| 3400 top of the range, 3200 bottom into August expiration. |
| Event | Time EST | Actual | Forecast | Previous |
| Core Retail Sales m/m | 1.3% | 7.3% | ||
| Retail Sales m/m | 2.0% | 7.5% | ||
| Prelim UoM Consumer Sentiment | 10:00am | 72.0 | 72.5 |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ |
| Ref Price: | 3376 | 3367 | 337 | 11223 | 272 |
| VIX Ref: | 22.13 | 22.13 | |||
| SG Gamma Index™: | 0.92 | 0.95 | 0.12 | 0.02 | -0.00 |
| Gamma Notional(MM): | $662.00 | $554.00 | $1,062.00 | $4.00 | $-27.00 |
| SGI Imp. 1SD Move: | 0.82%, | 28.0 pts, Range: | 3348.0 | 3404.0 | ||
| SGI 5 Day | 3352.5 | 2.32% | 3298.0 | 3454.0 | ||
| Zero Gamma Level(ES Px): | 3251 | 3242 | — | ||
| Vol Trigger™(ES Px): | 3205 | 3210 | 335 | 10400 | 271 |
| High Gamma Strike Resistance: | 3400 | 3400 | 340 | 10625 | 275 |
| Top Abs. Gamma Strike: | 3350 | 3300 | 340 | 11000 | 270 |
| Put Wall Support: | 3000 | 3000 | 310 | 10000 | 265 |
| Call Wall Strike: | 3400 | 3400 | 340 | 11400 | 275 |
| CP Gam Tilt: | 1.54 | 1.48 | 1.4 | 1.64 | 0.98 |
| Delta Neutral Px: | 3146.0 | ||||
| Net Delta(MM): | $11,630.00 | $11,555.00 | $2,073.00 | $313.00 | $658.00 |
| 25D Risk Reversal | -0.07 | -0.07 | -0.07 | -0.08 | -0.08 |
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3400, 3350, 3300, 3200] SPY: [340, 338, 335, 330] QQQ: [275, 272, 270, 265] NDX:[11400, 11000, 10625, 10000] SPX Combo: [3422.0, 3395.0, 3399.0] NDX Combo: [11314.0, 11358.0, 11437.0] The Volatility Trigger has moved DOWN: 3205 from: 3210 SPX resistance is: 3400. Support is: 3350 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $662.00MM from: $554.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |