| Futures have pulled ahead to 3412 this morning ahead of the FOMC. SPX/SPY have a positive gamma position and Q’s are still negative but trending back towards zero gamma. It appears that call positions are building just overhead with SPY in particular. 3400 remains the key area, with the Volatility Trigger posted right below at 3390. We think a break of 3390 brings a quick test of 3350 which is a large interest strike. To the upside there is decent resistance around 3428 (Combo Strikes) with 3457 being a larger wall. As today is an FOMC rate day there will likely be some late day volatility, which now gets mixed in with Fridays Quad witching expiration. |
| Market Outlook: |
| September OPEX top range = 3500, can push down to 3200 with break of Vol Trigger. |
| Event | Time EST | Actual | Forecast | Previous |
| Core Retail Sales m/m | 1.0% | 1.9% | ||
| Retail Sales m/m | 1.1% | 1.2% | ||
| Crude Oil Inventories | 10:30am | 2.1M | 2.0M | |
| FOMC Economic Projections | 2:00pm | |||
| FOMC Statement | ||||
| Federal Funds Rate | <0.25% | <0.25% | ||
| FOMC Press Conference | 2:30pm |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
| Ref Price: | 3399 | 3395 | 339 | 11464 | 279 | ||
| VIX Ref: | 25.59 | 25.59 | |||||
| SG Gamma Index™: | 0.05 | 0.63 | 0.05 | 0.02 | -0.05 | ||
| Gamma Notional(MM): | $79.00 | $196.00 | $403.00 | $3.00 | $-259.00 | ||
| SGI Imp. 1 Day Move: | 0.92%, | 31.0 pts | Range: 3368.0 | 3430.0 | ||||
| SGI Imp. 5 Day Move: | 3365.25 | 1.61% | Range: 3344.0 | 3454.0 | ||||
| Zero Gamma Level(ES Px): | 3373 | 3336 | — | ||||
| Vol Trigger™(ES Px): | 3390 | 3380 | 337 | 11330 | 278 | ||
| High Gamma Strike Resistance: | 3500 | 3395 | 342 | 11575 | 290 | ||
| SG Abs. Gamma Strike: | 3400 | 3400 | 340 | 11575 | 270 | ||
| Put Wall Support: | 3100 | 3250 | 320 | 11000 | 270 | ||
| Call Wall Strike: | 3500 | 3395 | 342 | 11575 | 290 | ||
| CP Gam Tilt: | 1.01 | 1.12 | 1.14 | 1.33 | 0.8 | ||
| Delta Neutral Px: | 3265.0 | ||||||
| Net Delta(MM): | $12,446.00 | $14,030.00 | $2,159.00 | $395.00 | $822.00 | ||
| 25D Risk Reversal | -0.08 | -0.08 | -0.08 | -0.08 | -0.08 | ||
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3450, 3400, 3375, 3350] SPY: [350, 342, 340, 330] QQQ: [290, 280, 275, 270] NDX:[11575, 11400, 11200, 11000] SPX Combo: [3457.0, 3430.0, 3426.0, 3365.0, 3375.0] NDX Combo: [11665.0, 11493.0, 11355.0, 11321.0, 11447.0] The Volatility Trigger has moved UP: 3390 from: 3380 The PutWall has moved to: 3100 from: 3250 The Call Wall has moved to: 3500 from: 3395 The High Gamma Strike has moved to: 3500 from: 3395 SPX resistance is: 3400 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $79.32MM from: $195.00MM Gamma is tilted towards Puts, may indicate puts are expensive Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |