| Futures are up a bit to the 3310 area. Gamma levels recovered to near 0 after Fridays large rally. There is a lot of open interest at 3300 which now sits as the key pivot line for markets. In addition to Zero Gamma residing at 3300, the Call Wall sits there too. Generally we view the Call Wall as a strong resistance level, but coming off of the back of a negative gamma run we think this reflects a lack of call positions above as opposed to a big resistance point. To this point on light call positioning (SPX & single stock), very high election hedge levels, and this chart which notes that large specs in futures are max short. This makes an interesting setup for an upside surprise. For today we see one large Combo Strike at 3314, with little resistance showing above there. 3300 is support, with a break of that level implying a quick move down to 3250. |
| Market Outlook: |
| 3200 – 3400 October OPEX range. |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
| Ref Price: | 3310 | 3289 | 330 | 11204 | 271 | ||
| VIX Ref: | 14 | 26.38 | |||||
| SG Gamma Index™: | -0.05 | -0.82 | -0.03 | 0.00 | -0.01 | ||
| Gamma Notional(MM): | $-20.00 | $-159.00 | $123.00 | $0.00 | $-277.00 | ||
| SGI Imp. 1 Day Move: | 2.76%, | 91.0 pts | Range: 3219.0 | 3401.0 | ||||
| SGI Imp. 5 Day Move: | 3310.0 | 4.84% | Range: 3150.0 | 3470.0 | ||||
| Zero Gamma Level(ES Px): | 3293 | 3305 | — | ||||
| Vol Trigger™(ES Px): | 3295 | 3300 | 328 | 10900 | 271 | ||
| High Gamma Strike Resistance: | 3300 | 3500 | 330 | 11000 | 272 | ||
| SG Abs. Gamma Strike: | 3300 | 3250 | 330 | 10900 | 272 | ||
| Put Wall Support: | 3200 | 3250 | 320 | 10000 | 255 | ||
| Call Wall Strike: | 3300 | 3500 | 330 | 11000 | 272 | ||
| CP Gam Tilt: | 0.98 | 0.89 | 1.05 | 1.07 | 0.74 | ||
| Delta Neutral Px: | 3211.0 | ||||||
| Net Delta(MM): | $10,749.00 | $10,936.00 | $1,699.00 | $304.00 | $653.00 | ||
| 25D Risk Reversal | -0.08 | -0.09 | -0.08 | -0.08 | -0.08 | ||
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3400, 3350, 3300, 3250] SPY: [335, 330, 325, 320] QQQ: [280, 275, 272, 270] NDX:[11200, 11000, 10900, 10000] SPX Combo: [3314.0, 3265.0, 3324.0, 3318.0, 3304.0] NDX Combo: [11218.0, 11129.0] The Volatility Trigger has moved DOWN: 3295 from: 3300 The PutWall has moved to: 3200 from: 3250 The Call Wall has moved to: 3300 from: 3500 The High Gamma Strike has moved to: 3300 from: 3500 SPX is above the Volatility Trigger™, resistance is: 3300 Support is: 3300 The total gamma has moved has moved UP: $-21.00MM from: $-160.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |