|Futures are trading around 3515 but off of their overnight highs of 3525. Our data reflects little change from Friday – and that includes no move in the 3500 Call Wall. QQQ gamma also remains very flat despite the large SPY/SPX positive gamma. In summary: no movement in the Call Wall suggests no major addition of call positions, and the ZeroGamma/Vol Trigger remain well below the market which infers lack of hedging.
I think many of us are watching to see how AAPL & TSLA trade now they have split. The increase in float may add liquidity and cool off the volatility, but I also think there is a large contingent of the retail public who will think that the stock prices being lower represent better value, and I’m only half kidding.
For today our model holds that the market is overextended as long as SPX prices are above the Call Wall. 3500 is the key area, with a very large Combo bar at 3509. The high positive gamma typically brings a fairly tight trading range on the day. We really would like to see options positions fill in on both sides of this market – calls above to draw the market up and put hedges below.