| Gamma registered a decent drop overnight to the lowest level in some time. Futures overnight tested close to 2500 before pulling back. From our perspective there is a lot of open interest in and around the 2400-2500 area and if this were a “normal” market I’d be inclined to suggest we stay in this range for a few days until the data changes. I’d note the Tilt indicator appears to be turning up a bit, and some realized volatility indicators appear to be turning in a bullish direction as well. If you look at the “strike chart” link below you will find a chart we added which maps 2 month realized volatility vs 6 month realized volatility you can see that indicator may be turning as well. Certainly all signals come with a note of caution in this market, but it does seem that our data is a bit more bullish at the moment. We had anticipated a change in data following the large OPEX on Friday, so the improvement in our indicators does not come with much surprise. |
| Event | Time EST | Actual | Forecast | Previous |
| Core Durable Goods Orders m/m | 8:30am | -0.4% | 0.8% | |
| Durable Goods Orders m/m | -1.0% | -0.2% |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2435.5 | 2416.5 |
| VIX Ref: | 62.42 | 60.9 |
| Gamma Per Point: | $-824,343,324.33 | $-909,628,750.65 |
| Zero Gamma Level: | 3092.0 | 3106.0 |
| Vol Trig: | 3140.0 | 3140.0 |
| High Gamma Strike Resistance: | 2455.0 Size: 0/10 | 2455.0 |
| Top Abs. Gamma Strike: | 2400.0 | 2400.0 |
| Put Wall Support: | 2500.0 Size: 2/10 | 2400.0 |
| Call Wall Strike: | 2455.0 Size: 0/10 | 2455.0 |
| CP Gam Tilt: | 0.5 | 0.44 |
| Net Delta: | $-11,388,250,607.00 | $-11,949,687,191.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 2455.0, 2435.0, 2430.0, 2445.0, 2540.0 The Volatility Trigger has moved DOWN: 3050.0 from: 3100.0 |
0 comentarios