| Futures are flat to last nights close with notional gamma down a bit overnight. 3400 remains the top gamma strike and overhead resistance. We note that 3375 was added as a large OI strike, so the SPX gamma is now fairly well dispersed from 3350-3400. Whats a bit curious about this expiration is so much of the gamma expiring is concentrated near 3400/340 as you can see here (scroll down to “Exp. Comparison”). Obviously a large chunk of SPX gamma expires at the open, so watching SPY levels may help navigate today. The SPY shows gamma flipping from positive to negative at 337 (Vol Trigger) – I dont think this has as much “teeth” as an SPX flip, but its worth noting.
Single stocks obviously have a lot of contracts expiring today which could make for a choppy day in many names. After yesterdays run in tech we note that single stock gamma totals are at or near recent highs, with a substantial amount of deltas expiring, too. Our stats suggest 58% of stocks have their largest delta position expiring today. As we have discussed at length we see this as a setup for high volatility today into Monday. As a reminder we see this as a dynamic because we assume dealers are primarily short calls with long stock hedges. Many of those calls expire at the close but of course could be closed or rolled intraday – therefore the anticipation of “chop” as hedges are shifted. For today we suggest extra caution at the open as occasionaly strange prints can take place in ES/SPX due to the expiration. 3386 in showing as a key level in the Combo Strike with 3400SPX/340SPY our top level. The downside shows support at 3350SPX/335SPY, however we do maintain caution on a move lower due to our view that expiration could bring selling pressure in single stocks. 3300 is still our marker for an SPX “Gamma Flip” and larger drawdown. |
| Market Outlook: |
| 3400 top, 3300 low into August Expiration |
| Event | Time EST | Actual | Forecast | Previous |
| Flash Manufacturing PMI | 9:45am | 51.9 | 50.9 |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ |
| Ref Price: | 3375 | 3387 | 337 | 11455 | 279 |
| VIX Ref: | 23.12 | 22.72 | |||
| SG Gamma Index™: | 0.66 | 0.67 | 0.12 | 0.04 | 0.02 |
| Gamma Notional(MM): | $409.00 | $555.00 | $350.00 | $5.00 | $137.00 |
| SGI Imp. 1SD Move: | 0.92%, | 31.0 pts, Range: | 3344.0 | 3406.0 | ||
| SGI Imp. 5 Day Move: | 3379.5 | 2.3% | 3297.0 | 3453.0 | ||
| Zero Gamma Level(ES Px): | 3282 | 3261 | — | ||
| Vol Trigger™(ES Px): | 3200 | 3200 | 337 | 10075 | 272 |
| High Gamma Strike Resistance: | 3450 | 3450 | 340 | 11400 | 285 |
| Top Abs. Gamma Strike: | 3400 | 3400 | 340 | 11400 | 277 |
| Put Wall Support: | 3000 | 3000 | 335 | 10000 | 270 |
| Call Wall Strike: | 3450 | 3450 | 340 | 11400 | 285 |
| CP Gam Tilt: | 1.19 | 1.4 | 1.1 | 1.48 | 1.14 |
| Delta Neutral Px: | 3145.0 | ||||
| Net Delta(MM): | $12,140.00 | $12,183.00 | $2,184.00 | $363.00 | $717.00 |
| 25D Risk Reversal | -0.08 | -0.08 | -0.08 | -0.08 | -0.08 |
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3400, 3375, 3350, 3300] SPY: [340, 339, 338, 335] QQQ: [280, 277, 275, 270] NDX:[11500, 11400, 11200, 11000] SPX Combo: [3436.0, 3386.0, 3413.0] NDX Combo: [11378.0, 11539.0, 11584.0] SPX resistance is: 3400 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $408.68MM from: $555.00MM 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% |