| It appears that macro events are starting to take center stage now as US bonds are making major moves. I would note that (unsurprisingly) any positive movement in our indicators made yesterday have been wiped out, and negative gamma is at/near its largest levels of the past weeks. The 3000 strike which has a lot of OI may now become a place to look for resistance similar to what we saw with 3100. We would also note a lot of put interest at 2950 and 2900 which could be an accelerant if we make another leg lower. Bottom line is that the gamma picture is very negative, only this time we are ~100 handles lower than last week when we had similar levels. These conditions are ripe for a “limit up/down” type move, and with the VIX pushing 50 it seems the market is starting to price a similar idea. I bring this up not to fear monger but as a note of caution that this can bring wide price dislocations and it may not be advisable to play short term options in this market as a result. |
| Event | Time EST | Actual | Forecast | Previous |
| Average Hourly Earnings m/m | 0.3% | 0.2% | ||
| Non-Farm Employment Change | 175K | 225K | ||
| Unemployment Rate | 3.6% | 3.6% |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2944.75 | 3016.75 |
| VIX Ref: | 44.9 | 41.74 |
| Gamma Per Point: | $-1,874,630,933.40 | $-1,505,343,372.45 |
| Zero Gamma Level: | 3172.0 | 3201.0 |
| Vol Trig: | 3145.0 | 3195.0 |
| High Gamma Strike Resistance: | 3150.0 Size: 0/10 | 3300.0 |
| Top Abs. Gamma Strike: | 3000.0 | 3000.0 |
| Put Wall Support: | 2950.0 Size: 8/10 | 3000.0 |
| Call Wall Strike: | 3085.0 Size: 0/10 | 3165.0 |
| CP Gam Tilt: | 0.4 | 0.52 |
| Net Delta: | $-9,022,226,932.00 | $-5,733,431,105.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 3150.0, 3300.0, 3400.0, 3250.0, 3200.0
The Volatility Trigger has moved DOWN: 3145.0 from: 3195.0 |