| Futures holding a rally this morning and negative gamma is back to levels similar to yesterday morning. Our Gamma Tilt indicator showed a bounce this morning as call gamma builds a small amount. It still appears that we will have to push over over 3150->3200 area to regain stability in this market. We would expect implied vols to reduce slightly following Super Tuesday and Bidens success, and this may explain some of the bid in futures. Given that, we still expect the market to maintain this volatility potential until there is a move much higher towards zero gamma and/or we approach the monthly March OPEX where a large number of puts are listed. Keep in mind that if the market can hold steady that main help create some bullish pressure as put options will decay rapidly, forcing puts to close and or dealers to potentially buy back futures. |
| Event | Time EST | Actual | Forecast | Previous |
| ADP Non-Farm Employment Change | 8:15am | 170K | 291K | |
| ISM Non-Manufacturing PMI | 54.9 | 55.5 | ||
| Crude Oil Inventories | 10:30am | 2.8M | 0.5M |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 3058.25 | 2994.25 |
| VIX Ref: | 32.67 | 37.39 |
| Gamma Per Point: | $-1,428,369,802.43 | $-1,713,659,260.58 |
| Zero Gamma Level: | 3221.0 | 3226.0 |
| Vol Trig: | 3215.0 | 3215.0 |
| High Gamma Strike Resistance: | 3300.0 Size: 0/10 | 3300.0 |
| Top Abs. Gamma Strike: | 3000.0 | 3000.0 |
| Put Wall Support: | 3050.0 Size: 6/10 | 3000.0 |
| Call Wall Strike: | 3200.0 Size: 0/10 | 2910.0 |
| CP Gam Tilt: | 0.54 | 0.45 |
| Net Delta: | $-4,099,789,095.00 | $-6,980,420,049.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 3300.0, 3400.0, 3450.0, 3500.0, 3250.0
The PutWall has moved to: 3050.0 from: 3000.0 |