| Overnight futures consolidated to 3510 before popping back to 3525. The SG Gamma Index pushes up to new recent highs with the Call Wall shifting to 3550. There were some large jumps in both Gamma Tilt and Delta Tilt. Both of these metrics are a ratio of calls:puts and reflect not only the large call volume yesterday but also the jump in SPX price. 3500 strike volume was very large yesterday with ~50k puts & calls each trading. This led to a net addition of 25k puts at 3500 but only 5k added for calls. There were net call OI increases of 5-10k at several overhead strikes. This flow should help post 3500 as the floor and the addition of overhead call positions “confirms” the move up into Fridays OPEX. For today we mark a large Combo strike at 3526 with large support at 3500. 3550 is the overhead resistance area. |
| Market Outlook: |
| 3500-3550 range into Oct OPEX (10/16) |
| Event | Time EST | Actual | Forecast | Previous |
| CPI m/m | 8:30am | 0.2% | 0.4% | |
| Core CPI m/m | 0.2% | 0.4% |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ | ||
| Ref Price: | 3514 | 3533 | 351 | 12057 | 294 | ||
| VIX Ref: | 25.75 | 25.07 | |||||
| SG Gamma Index™: | 1.27 | 0.79 | 0.16 | 0.02 | 0.02 | ||
| Gamma Notional(MM): | $540.00 | $700.00 | $894.00 | $3.00 | $125.00 | ||
| SGI Imp. 1 Day Move: | 0.79%, | 28 pts | Range: 3497.0 | 3552.0 | ||||
| SGI Imp. 5 Day Move: | 3497 | 2.53% | Range: 3409.0 | 3586.0 | ||||
| Zero Gamma Level(ES Px): | 3376 | 3368 | — | 0 | |||
| Vol Trigger™(ES Px): | 3370 | 3395 | 341 | 11390 | 283 | ||
| SG Abs. Gamma Strike: | 3500 | 3500 | 350 | 10900 | 290 | ||
| Put Wall Support: | 3200 | 3470 | 351 | 9500 | 255 | ||
| Call Wall Strike: | 3550 | 3500 | 354 | 12000 | 300 | ||
| CP Gam Tilt: | 1.77 | 1.9 | 1.4 | 1.44 | 1.15 | ||
| Delta Neutral Px: | 3268 | ||||||
| Net Delta(MM): | $12,313.00 | $11,864.00 | $2,056.00 | $391.00 | $729.00 | ||
| 25D Risk Reversal | -0.08 | -0.08 | -0.08 | -0.09 | -0.08 | ||
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3600, 3550, 3500, 3400] SPY: [354, 353, 350, 345] QQQ: [300, 295, 290, 285] NDX:[12000, 11000, 10900, 10000] SPX Combo: [3526.0, 3575.0, 3519.0, 3476.0, 3550.0] NDX Combo: [12271.0] The Volatility Trigger has moved DOWN: 3370 from: 3395 The PutWall has moved to: 3200 from: 3470 The Call Wall has moved to: 3550 from: 3500 SPX resistance is: 3550. Support is: 3500 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $539.80MM from: $700.00MM Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |