| Limit down again today has us retesting the lows of Friday. This just gets more crazy each day. Chatter really seems to be increasing regarding a market close for multiple days. We put up a note about it on the site – basically any options that expire on a “market holiday” would appear to settle at the following trading days OPENING price. Its not clear if we see a long term closure (1-2 weeks) if things would work that same way, but its the info we currently have. I probably don’t need to state this again today, but operational risk is extremely high right now. I would be very weary of holding any options that expire in the next 1-2 weeks. From Friday we actually saw the negative gamma picture improve a bit, but I imagine most of that will be wiped out today. We also same the gamma notional for 3/20 OPEX come down some and this indicates that some things for Fridays large OPEX traded. Friday also holds a large quarterly rebalance for the S&P500 Index, and is triple witching. Combined obviously with the Fed on 3/18 the back half of this week has many catalysts – not that we dont already have plenty. We continue to think that for the time being the gamma pressure is “higher” in the market due to negative gamma reducing if the market decline, but also figuring that market makers are probably adding long volatility/long gamma hedges should the market move lower. This doesnt mean we anticipate a higher price in the market today, just that there may be more fuel for a wild move up (see Fridays close) than down. |
| Event | Time EST | Actual | Forecast | Previous |
| Empire State Manufacturing Index | 8:30am | 5.1 | 12.9 |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2567.5 | 2698.0 |
| VIX Ref: | 14 | 57.17 |
| Gamma Per Point: | $-1,593,420,228.80 | $-1,920,165,395.27 |
| Zero Gamma Level: | 3154.0 | 3152.0 |
| Vol Trig: | 3153.0 | 3153.0 |
| High Gamma Strike Resistance: | 3150.0 Size: 0/10 | 2745.0 |
| Top Abs. Gamma Strike: | 2550.0 | 2700.0 |
| Put Wall Support: | 2600.0 Size: 7/10 | 2700.0 |
| Call Wall Strike: | 2544.0 Size: 0/10 | 2745.0 |
| CP Gam Tilt: | 0.33 | 0.24 |
| Net Delta: | $-17,391,843,872.00 | $-14,731,395,443.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 3150.0, 3250.0, 3425.0, 3400.0, 3225.0
The PutWall has moved to: 2600.0 from: 2700.0 |