| Futures are holding the 3445 area this morning after a fairly quiet overnight session. While overall gamma levels were unchanged we note that the Call Wall has shifted to 3500. 3450 remains a large interest level and key support/resistance area but our anticipated “top” shifts to 3500. There are large Combo Strike areas at 3449 and 3476.
We continue to see a decline in realized volatility which now appears back in “pre crisis” area. As discussed many times before this may be a tailwind for equities as it could pressure implied volatility (VIX). However, sustained declines in VIX are probably short lived with the elections only 68 days away. For today gamma suggests another tight trading range, and we watch 3450 as a pivot area, with support at 3425 and resistance near 3475. |
| Market Outlook: |
| 3400 low to 3500 top into September. |
| Event | Time EST | Actual | Forecast | Previous |
| Core Durable Goods Orders m/m | 8:30am | 1.9% | 3.6% | |
| Durable Goods Orders m/m | 4.4% | 7.6% | ||
| Crude Oil Inventories | 10:30am | -3.4M | -1.6M |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ |
| Ref Price: | 3441 | 3440 | 343 | 11743 | 285 |
| VIX Ref: | 22.03 | 22.03 | |||
| SG Gamma Index™: | 0.85 | 0.87 | 0.15 | 0.02 | 0.02 |
| Gamma Notional(MM): | $946.00 | $950.00 | $976.00 | $3.00 | $137.00 |
| SGI Imp. 1 Day Move: | 0.86%, | 30.0 pts, Range: | 3411.0 | 3471.0 | ||
| SGI Imp. 5 Day Move: | 3427.0 | 2.35% | 3360.0 | 3522.0 | ||
| Zero Gamma Level(ES Px): | 3347 | 3312 | — | ||
| Vol Trigger™(ES Px): | 3210 | 3295 | 341 | 11150 | 281 |
| High Gamma Strike Resistance: | 3500 | 3450 | 345 | 11400 | 290 |
| SG Abs. Gamma Strike: | 3400 | 3400 | 345 | 11575 | 282 |
| Put Wall Support: | 3000 | 3000 | 320 | 10000 | 270 |
| Call Wall Strike: | 3500 | 3450 | 345 | 11575 | 290 |
| CP Gam Tilt: | 1.53 | 2.02 | 1.38 | 1.49 | 1.17 |
| Delta Neutral Px: | 3175.0 | ||||
| Net Delta(MM): | $12,395.00 | $12,532.00 | $2,121.00 | $336.00 | $672.00 |
| 25D Risk Reversal | -0.08 | -0.08 | -0.08 | -0.07 | -0.08 |
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3500, 3450, 3400, 3350] SPY: [350, 345, 342, 340] QQQ: [285, 282, 280, 270] NDX:[11575, 11400, 11000, 10025] SPX Combo: [3501.0, 3449.0, 3401.0] NDX Combo: [11918.0, 11719.0, 11613.0] The Volatility Trigger has moved DOWN: 3210 from: 3295 The Call Wall has moved to: 3500 from: 3450 The High Gamma Strike has moved to: 3500 from: 3450 SPX resistance is: 3500. Support is: 3400 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $945.68MM from: $950.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |