Futures are flat overnight ahead of the Feds 9AM EST comments. The most notable thing about the data was a drawdown in SPX gamma which is surprising given yesterdays 1.1PC ratio and 1% higher market. The other interesting change is the strike now with the highest total gamma (Absolute) has shifted to 3500. The OI Change data shows about 18k calls were added to 3500 and 25k puts were added to 3450. Calls <3470 were net closed, likely tied to expiration.
The net of all this is best viewed by the Combo Chart which shows three clear levels here: 3500, 3475, 3450. Despite ZeroGamma reading down near 3350 we are using 3400 as our flip point. This is due to the fact that a move lower may bring additional put positions, plus we maintain high levels of negative gamma in single stocks. 3500 remains the overhead target, and is obviously a larger target than yesterday. |
