| Back down we go as futures are testing 3050. Nevertheless gamma is less negative than we had at the start of day yesterday backing up the notion that some puts were closed. It didn’t appear that much in the way of calls were added which is not great if your looking for less volatile markets. I believe I mentioned this recently but in my experience this much negative gamma doesnt go away quietly, and most likely takes a few weeks to burn off indicating we’ll see more wild price movement. So while yesterday succeeded in reducing negative gamma and moving us closer to zero gamma, it also weakened support underneath. If people start to rehedge that adds fresh dealer selling on top of already negative gamma and expands price distribution. So in our view the “volatility show” isn’t too close to being over. |
| Event | Time EST | Actual | Forecast | Previous |
| FOMC Member Kaplan Speaks |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 3055.75 | 3126.5 |
| VIX Ref: | 36.07 | 31.74 |
| Gamma Per Point: | $-1,338,904,434.58 | $-827,056,480.28 |
| Zero Gamma Level: | 3202.0 | 3228.0 |
| Vol Trig: | 3195.0 | 3215.0 |
| High Gamma Strike Resistance: | 3300.0 Size: 0/10 | 3300.0 |
| Top Abs. Gamma Strike: | 3000.0 | 3100.0 |
| Put Wall Support: | 3000.0 Size: 5/10 | 3000.0 |
| Call Wall Strike: | 3200.0 Size: 0/10 | 3200.0 |
| CP Gam Tilt: | 0.57 | 0.71 |
| Net Delta: | $-3,907,018,897.00 | $-936,920,859.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 3300.0, 3400.0, 3450.0, 3250.0, 3500.0
The Volatility Trigger has moved DOWN: 3195.0 from: 3215.0 |