| From limit down yesterday to limit up today. Whats interesting here is that negative gamma did not drop much overnight and despite the rally. This would indicate to me that not much “put fuel” (i.e. puts closing causing dealer short covering) was used up in this move. That makes this major runup a bit different that some of those blasts we saw into the close. The main difference being that we’ve moved higher and still have a lot of negative gamma to push things in either direction. With some of those >50pt rallies into the close it seemed more clear there was an “air pocket” underneath. Therefore the question today is if the volatility market (implied vols/VIX) will “agree” with this move higher. As mentioned last night if the VIX does break down that may confirm this rally and show that we’re using this put fuel for another leg higher. Of course this negative gamma can help push another trip lower as well should sentiment sour again. We continue to believe that the volatiltiy wont subside until we get closer to that zero gamma level up near 3150-3175. |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2855.5 | 2774.25 |
| VIX Ref: | 45.2 | 53.37 |
| Gamma Per Point: | $-1,872,150,391.65 | $-2,057,588,952.14 |
| Zero Gamma Level: | 3171.0 | 3063.0 |
| Vol Trig: | 3140.0 | 3140.0 |
| High Gamma Strike Resistance: | 3150.0 Size: 0/10 | 3150.0 |
| Top Abs. Gamma Strike: | 2850.0 | 2800.0 |
| Put Wall Support: | 2900.0 Size: 6/10 | 2800.0 |
| Call Wall Strike: | 2844.0 Size: 0/10 | 2844.0 |
| CP Gam Tilt: | 0.34 | 0.16 |
| Net Delta: | $-11,769,685,499.00 | $-14,592,313,756.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 3150.0, 3300.0, 3400.0, 3250.0, 3350.0
The Volatility Trigger has moved UP: 3145.0 from: 3140.0 |