| Futures hold 3350 after a fairly quiet overnight. Despite this gamma levels took a negative tone, but its tough to read into much of this data as so much is expiring at the open. We note that roughly 2mm puts and 900k calls roll off in SPX today, the bulk of that at the SPX open. As a reminder futures can have some very strange movements into and immediately after the cash 9:30EST open. This past week we’ve been looking for the market to hold the 3350-3400 range and today marks when this area could be “released” due to expiration. For today 3350 appears as the major level, and we are exposed to volatility below that. A move lower can have more legs now that this large OI zone is expiring – so there is more merit to a break of the Vol Trigger 3340 level. There are a fair amount of puts down around 3250 and those could add some negative gamma if markets take a negative turn. To the upside we note a Combo Strike at 3357 and a second small cluster of resistance around 3385. |
| Market Outlook: |
| Sep OPEX tomorrow, new October range to setup starting Monday. |
| Event | Time EST | Actual | Forecast | Previous |
| CB Leading Index m/m | 10:00am | 1.3% | 1.4% | |
| Prelim UoM Consumer Sentiment | 75.0 | 74.1 |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
| Ref Price: | 3353 | 3354 | 335 | 11129 | 270 | ||
| VIX Ref: | 26.46 | 26.46 | |||||
| SG Gamma Index™: | -0.42 | 0.30 | -0.06 | -0.00 | -0.09 | ||
| Gamma Notional(MM): | $-219.00 | $-39.00 | $-168.00 | $2.00 | $-622.00 | ||
| SGI Imp. 1 Day Move: | 0.69%, | 23.0 pts | Range: 3330.0 | 3376.0 | ||||
| SGI Imp. 5 Day Move: | 3365.25 | 1.61% | Range: 3311.0 | 3419.0 | ||||
| Zero Gamma Level(ES Px): | 3362 | 3329 | — | ||||
| Vol Trigger™(ES Px): | 3340 | 3385 | 335 | 11150 | 283 | ||
| High Gamma Strike Resistance: | 3350 | 3400 | 342 | 3000 | 300 | ||
| SG Abs. Gamma Strike: | 3350 | 3400 | 340 | 11000 | 270 | ||
| Put Wall Support: | 3250 | 3385 | 330 | 11000 | 265 | ||
| Call Wall Strike: | 3350 | 3400 | 342 | 11200 | 300 | ||
| CP Gam Tilt: | 0.89 | 0.98 | 0.95 | 1.16 | 0.61 | ||
| Delta Neutral Px: | 3286.0 | ||||||
| Net Delta(MM): | $12,030.00 | $14,172.00 | $1,787.00 | $370.00 | $837.00 | ||
| 25D Risk Reversal | -0.08 | -0.08 | -0.09 | -0.08 | -0.08 | ||
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3400, 3375, 3350, 3300] SPY: [350, 340, 335, 330] QQQ: [275, 272, 270, 265] NDX:[11200, 11050, 11025, 11000] SPX Combo: [3302.0, 3352.0, 3403.0, 3322.0, 3379.0] NDX Combo: [10941.0, 11152.0, 11030.0, 11085.0, 10985.0] The Volatility Trigger has moved DOWN: 3340 from: 3385 The PutWall has moved to: 3250 from: 3385 The Call Wall has moved to: 3350 from: 3400 The High Gamma Strike has moved to: 3350 from: 3400 SPX is above the Volatility Trigger™, resistance is: 3350 Support is: 3350 The total gamma has moved DOWN: $-219.49MM from: $-39.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |