| Futures up slightly to 3508 this morning. Weve seen a pretty heavy drop in SPX gamma and major consolidation of levels at 3500. This is due to ~35k puts added yesterday to the 3500 strike. Because the Call Wall only shifts to 3510 we’re sort of trapped in this box of 3500-3510. It does seem like the SPX has been consolidating/compressing and is set to make a move. Looking just at the last 5 trading days, Q’s are up ~4% with SPY’s adding only 2%. At the same time QQQ gamma remains quite flat with SPY pushing the $1bn mark, which again shows more “volatility potential” in QQQ. As we enter the 4th quarter I start to wonder about “performance anxiety”, and how that manifests for those who have primarily been in SPX (+8% YTD) vs NDX (+38%) For today we note large Combo support at 3490 with 3500 being a key pivot level. If we break out through the 3510 Call Wall we note a large Combo strike up near 3537. Were on watch for a large extension down should 3490 break. |
| Market Outlook: |
| 3400 low to 3525 top into September. |
| Event | Time EST | Actual | Forecast | Previous |
| ISM Manufacturing PMI | 10:00am | 54.6 | 54.2 |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ |
| Ref Price: | 3505 | 3497 | 350 | 12168 |