| We are seeing some consolidation in futures this morning to 3550 are after making highs around 3585. There are a bunch of strange shifts going on making the picture quite cloudy. First, the Call Wall shifts to 3590 which is an odd strike. Almost always these are major levels like ’00 or ’50. Second the Put Wall shows at 3580. Both of these movements seem to reflect poor SPX size at any particular strike. In other words I read this that SPX traders have little conviction with prices >3550. The other odd thing about the data is that SPX and SPY both catch a drawdown in gamma notional levels which is atypical given a market that was up 1.5%. Another somewhat related point of interest is the 25 Delta Risk Reversal which is reflecting new highs in call vs put prices, matching highs last seen in early June. I would think if call demand was surging then call gamma would be building. Its just a very murky setup which doesnt lend much confidence.
Single stock leaders may also be turning which is something to watch. One day of selling doesnt make a trend, but we remain concerned that markets are not stable and the “always up” mechanism can turn quite quickly. Still the benefit of the doubt lies with bulls but when the bulk of flow is concentrated in weekly options things can shift quickly. |
| Market Outlook: |
| Sept: 3500-3550 range. |
| Event | Time EST | Actual | Forecast | Previous |
| Unemployment Claims | 955K | 1006K | ||
| ISM Non-Manufacturing PMI | 57.0 | 58.1 |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | |
| Ref Price: | 3562 | 3563 | 356 | 12297 | 302 | |
| VIX Ref: | 26.21 | 26.33 | ||||
| SG Gamma Index™: | 1.31 | 0.78 | 0.17 | 0.01 | 0.01 | |
| Gamma Notional(MM): | $546.00 | $816.00 | $885.00 | $2.00 | $46.00 | |
| SGI Imp. 1 Day Move: | 0.93%, | 33.0 pts, Range: | 3529.0 | 3595.0 | |||
| SGI Imp. 5 Day Move: | 3497.75 | 1.96% | 3492.0 | 3632.0 | |||
| Zero Gamma Level(ES Px): | 3362 | 3431 | — | |||
| Vol Trigger™(ES Px): | 3315 | 3315 | 341 | 11325 | 299 | |
| High Gamma Strike Resistance: | 3590 | 3550 | 360 | 11575 | 310 | |
| SG Abs. Gamma Strike: | 3500 | 3500 | 350 | 11575 | 300 | |
| Put Wall Support: | 3580 | 3000 | 310 | 10000 | 255 | |
| Call Wall Strike: | 3590 | 3550 | 360 | 11575 | 310 | |
| CP Gam Tilt: | 1.77 | 2.0 | 1.43 | 1.36 | 1.06 | |
| Delta Neutral Px: | 0 | |||||
| Net Delta(MM): | $15,102.00 | $13,121.00 | $2,517.00 | $439.00 | $882.00 | |
| 25D Risk Reversal | -0.06 | -0.08 | -0.06 | -0.09 | -0.08 | |
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3600, 3590, 3550, 3500] SPY: [360, 358, 355, 350] QQQ: [302, 300, 295, 290] NDX:[11600, 11575, 11400, 11000] SPX Combo: [3569.0, 3580.0, 3566.0, 3530.0, 3630.0] NDX Combo: [12255.0, 12378.0, 12181.0, 12427.0, 12464.0] The PutWall has moved to: 3580 from: 3000 The Call Wall has moved to: 3590 from: 3550 The High Gamma Strike has moved to: 3590 from: 3550 SPX resistance is: 3590. Support is: 3500 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $545.65MM from: $816.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |