| A strong rally overnight in futures touched the 2500 level only to back off some to 2450 area now. Gamma drops to $1bn and the zero gamma level moves down a bit to 3100. The key to the options market helping to drop volatility will now be to see where new positions are added for April OPEX and beyond. We do anticipate some fast action around the open as the March options expire at 9:30AM est. Our hope is that we see a healthy addition of call options closer to at the money as that will help to lower negative gamma substantially. This is something that will play out over the next few days, but the other side of the bullish coin is that if not much is added in the way of calls and fresh round of put options opened that may actually pressure markets lower. If you consider that options dealers are “flat” now and new long puts are added, the dealers will be short more puts and have to sell more futures. We’re sticking with that view of a bounce here, but keeping a very short view on this as the data will change rapidly over the next few days. |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2466.0 | 2385.75 |
| VIX Ref: | 66.49 | 71.28 |
| Gamma Per Point: | $-1,024,164,457.99 | $-1,096,128,417.11 |
| Zero Gamma Level: | 3115.0 | 3140.0 |
| Vol Trig: | 3100.0 | 3100.0 |
| High Gamma Strike Resistance: | 2465.0 Size: 0/10 | 2355.0 |
| Top Abs. Gamma Strike: | 2500.0 | 2400.0 |
| Put Wall Support: | 2500.0 Size: 4/10 | 2400.0 |
| Call Wall Strike: | 2535.0 Size: 0/10 | 2355.0 |
| CP Gam Tilt: | 0.38 | 0.24 |
| Net Delta: | $-11,886,410,345.00 | $-13,301,289,507.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 2465.0, 2535.0, 3150.0, 3425.0, 3250.0
The PutWall has moved to: 2500.0 from: 2400.0 |