| More crazy movement in futures as we went limit up, only to trade down ~120 handles then back up 100, and down again to settle in the 2425 area. This type of movement is drawing ire from pundits like Jim Cramer and I bring this up because I think it increases odds of a market holiday. If you check the OI change charts (click “strike charts” link at bottom of email) you will see we are seeing some small but noticeable movement in the 2700-3000 area – and that is a drawdown in put OI at those strikes. I would also note that negative gamma reduced some overnight and from just looking purely at this options data it could be a sign of some stability forming. This is also being seen on the “Tilt” chart which is available on the same link as above. Changing topics we’d note that the S&P quarterly rebalance scheduled for Friday was postponed which may help reduce some of the volatility we anticipated into this weeks OPEX. As for today we expect much of the same markets we’ve had – a bit more negative gamma to the upside with wide ranges. Please note in the charts we are showing the volatility trigger and high gamma strikes at somewhat strange prices. This is due to the lack of positive gamma in the market – essentially puts continue to dominate calls and that causes these indicators to move sporadically. |
| Event | Time EST | Actual | Forecast | Previous |
| Core Retail Sales m/m | 0.1% | 0.3% | ||
| Retail Sales m/m | 0.2% | 0.3% |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2433.75 | 2410.0 |
| VIX Ref: | 80.78 | 79.43 |
| Gamma Per Point: | $-1,375,722,469.98 | $-1,444,513,579.69 |
| Zero Gamma Level: | 3150.0 | 2997.0 |
| Vol Trig: | 2700.0 | 3200.0 |
| High Gamma Strike Resistance: | 2085.0 Size: 0/10 | 2085.0 |
| Top Abs. Gamma Strike: | 2500.0 | 2400.0 |
| Put Wall Support: | 2400.0 Size: 4/10 | 2400.0 |
| Call Wall Strike: | 2313.0 Size: 0/10 | 2313.0 |
| CP Gam Tilt: | 0.17 | 0.09 |
| Net Delta: | $-19,660,744,962.00 | $-20,191,044,719.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 3150.0, 3425.0, 2085.0, 2170.0, 2090.0 The High Gamma Strike has moved to: 3150.0 from: 2085.0 |
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