| Markets move higher into record territory, buoyed by Trumps statement last night. Our initial post-OPEX range into September expiration is setting up as 3400-3450. There was not much change in SPX/SPY gamma levels, which maintains the expectation of a prices which are mean reverting with a positive bias. QQQ starts off in negative gamma, and many single stocks saw large reductions in gamma readings. It seems the traders will be looking to take stocks higher today and this likely means restarting the call cycle (aka buying more short dated calls) into week end. For whatever reason the AAPL/TSLA splits are the talk of the “retail” town and may be a driver of call volumes this week.
In summary we expect little change in SPX behavior (mean verting, grind higher) with support at 3400 and large Combo support/resistance bars at 3314 and 3438. We look for call positions as our signal in Q’s/single stocks – as long as call OI increases we think prices likely follow. |
| Market Outlook: |
| Monday will set a new range for September OPEX. |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ |
| Ref Price: | 3408 | 3392 | 340 | 11620 | 281 |
| VIX Ref: | 14 | 22.54 | |||
| SG Gamma Index™: | 0.78 | 0.67 | 0.01 | 0.01 | -0.03 |
| Gamma Notional(MM): | $682.00 | $758.00 | $901.00 | $2.00 | $-5.00 |
| SGI Imp. 1 Day Move: | 0.93%, | 32.0 pts, Range: | 3376.0 | 3440.0 | ||
| SGI Imp. 5 Day Move: | 3408.25 | 2.33% | 3329.0 | 3487.0 | ||
| Zero Gamma Level(ES Px): | 3315 | 3299 | — | ||
| Vol Trigger™(ES Px): | 3295 | 3200 | 339 | 11150 | 281 |
| High Gamma Strike Resistance: | 3450 | 3450 | 340 | 11400 | 285 |
| SG Abs. Gamma Strike: | 3400 | 3400 | 340 | 11575 | 270 |
| Put Wall Support: | 3000 | 3000 | 339 | 10000 | 281 |
| Call Wall Strike: | 3450 | 3450 | 340 | 11575 | 285 |
| CP Gam Tilt: | 1.66 | 1.61 | 1.36 | 1.44 | 0.99 |
| Delta Neutral Px: | 3144.0 | ||||
| Net Delta(MM): | $12,280.00 | $12,202.00 | $2,020.00 | $308.00 | $606.00 |
| 25D Risk Reversal | -0.08 | -0.08 | -0.08 | -0.08 | -0.09 |
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3400, 3375, 3350, 3300] SPY: [340, 339, 338, 330] QQQ: [282, 281, 280, 270] NDX:[11575, 11400, 11000, 10700] SPX Combo: [3462.0, 3411.0, 3438.0] NDX Combo: [11611.0, 11692.0, 11774.0] The Volatility Trigger has moved UP: 3295 from: 3200 SPX resistance is: 3450. Support is: 3400 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $681.57MM from: $758.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |