| Futures are holding that 3400 area after a fairly quiet overnight session. Gamma levels recovered some, but the Vol Trigger now shifts to 3400. Its clear based on yesterdays flows that we had puts net closed at strikes >3425 and there was about 80k in volume at 3400 (40k each puts/calls). This seems to reinforce the idea that 3400 is the key pivot line, and sets up now as the key bull/bear level. The Combo Strikes show a band of resistance at 3413 which appeared to reject ES overnight, and may be a factor during the cash session. In single stocks it does appear that there was some call reloading – its a bit name specific. Call gamma did “re-inflate” some coinciding with major moves higher in popular tech names, but levels remain low relative to August. 9/18 expiration seems to be the large gamma position for most of these names which make next weeks Monthly OPEX interesting. We like to watch OPEX as a key date for an expansion in volatility/directional breakout. |
| Market Outlook: |
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| September OPEX top range = 3500, can push down to 3200 with break of Vol Trigger. |