| Futures popped up overnight to test and hold the 3450 area. SPX/SPY gamma levels also jumped higher indicating a solid amount of positive gamma which should keep trading ranges tight. It appears we will open on top of the High Gamma Strike which we see as resistance. We detect a significant amount of calls at this level, and the idea is that dealers (long calls) will be consistently selling futures against this strike. You can see stats on this by clicking on the “High Gamma Strike” link in the table below. 3450 is the top of our near term range until & unles this strike rolls higher and “validates” another move up.
One thing to note about this SPX gamma jump is that it appears to be the result of the market moving away from core put positions as opposed to the net addition of new calls. Our ZeroGamma/Vol Trigger metrics remain >100 points lower which lends to this “lack of puts” idea. We arent going to drag out our “instability” speech again, but simply wanted to make mention of this as SPX has hit ~$1bn gamma for the first time in some time. For today 3450 sets up as resistance, with a large Combo strike at 3442 and 3466. |
| Market Outlook: |
| 3400 low to 3500 top into September. |
| Event | Time EST | Actual | Forecast | Previous |
| CB Consumer Confidence | 10:00am | 93.0 | 92.6 |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ |
| Ref Price: | 3440 | 3442 | 343 | 11654 | 283 |
| VIX Ref: | 22.45 | 22.37 | |||
| SG Gamma Index™: | 0.87 | 0.87 | 0.08 | 0.01 | -0.00 |
| Gamma Notional(MM): | $950.00 | $951.00 | $1,146.00 | $2.00 | $28.00 |
| SGI Imp. 1 Day Move: | 0.86%, | 30.0 pts, Range: | 3410.0 | 3470.0 | ||
| SGI Imp. 5 Day Move: | 3427.0 | 2.35% | 3359.0 | 3521.0 | ||
| Zero Gamma Level(ES Px): | 3312 | 3315 | — | ||
| Vol Trigger™(ES Px): | 3295 | 3295 | 342 | 11150 | 281 |
| High Gamma Strike Resistance: | 3450 | 3450 | 343 | 11400 | 290 |
| SG Abs. Gamma Strike: | 3400 | 3400 | 342 | 11575 | 282 |
| Put Wall Support: | 3000 | 3000 | 342 | 10000 | 270 |
| Call Wall Strike: | 3450 | 3450 | 343 | 11575 | 290 |
| CP Gam Tilt: | 2.02 | 2.03 | 1.53 | 1.4 | 1.04 |
| Delta Neutral Px: | 3174.0 | ||||
| Net Delta(MM): | $12,532.00 | $12,542.00 | $2,072.00 | $322.00 | $634.00 |
| 25D Risk Reversal | -0.08 | -0.08 | -0.08 | -0.07 | -0.09 |
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3500, 3450, 3400, 3350] SPY: [350, 343, 342, 340] QQQ: [282, 280, 275, 270] NDX:[11575, 11400, 11000, 10025] SPX Combo: [3466.0, 3442.0, 3414.0] NDX Combo: [11729.0, 11612.0, 11624.0] SPX resistance is: 3450. Support is: 3400 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $950.04MM from: $950.00MM Gamma is tilted towards Calls, maybe indicating calls are expensive Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |