| Futures held a relatively tight range overnight as investors awaited the G7 meeting outcome. Its clear that put positions were reduced yesterday based on the Gamma Tilt and also OI change charts. There was a particularly large reduction in puts at the 3050 strike (~100k). Negative gamma has reduced to about half of where we were yesterday AM as the market sits at something of a turning point. As we had mentioned before a rally spurred by hedges closing (either puts closed and/or short covering) ends up weakening the market some as potential buyers are removed from the equation. The interesting thing to add is that if new puts are added to rehedge, that can actually place initial downward pressure on the market (dealers would be short those puts, shorting futures against them). We did see a slight tick up in call gamma which is something we havent seen since this started and that helps the bulls cause. So while we are feeling a bit more stable today its still an environment with a lot of energy potential. Negative gamma is still large and can provide fuel for a move in either direction, and we have Super Tuesday here in the US. Should Bernie Sanders emerge with strength that may pressure the SPX. Conversely, Biden doing well may help bring implied vols down, which may help boost US markets. Either way we anticipate continued volatility in the market, but most likely not to the extent seen the last several days due to that reduction in negative gamma. |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 3078.25 | 3074.25 |
| VIX Ref: | 33.34 | 33.42 |
| Gamma Per Point: | $-1,253,757,981.23 | $-1,583,748,319.60 |
| Zero Gamma Level: | 3231.0 | 3254.0 |
| Vol Trig: | 3215.0 | 3240.0 |
| High Gamma Strike Resistance: | 3300.0 Size: 0/10 | 3400.0 |
| Top Abs. Gamma Strike: | 3100.0 | 3050.0 |
| Put Wall Support: | 3000.0 Size: 4/10 | 3050.0 |
| Call Wall Strike: | 3200.0 Size: 0/10 | 2945.0 |
| CP Gam Tilt: | 0.57 | 0.48 |
| Net Delta: | $-3,256,743,335.00 | $-4,103,601,215.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 3300.0, 3400.0, 3450.0, 3500.0, 3350.0
The Volatility Trigger has moved DOWN: 3215.0 from: 3240.0 |