| Gamma edges a bit higher today as we await the jobs data and possible stimulus package. Overnight futures tested both the 2500 and 2400 level which is interesting given the largest options OI lines up at both of those strikes. I do not anticipate those levels holding much significance after the data release today as equity/futures volume will most likely be quite large and we have a lot of negative gamma to push things along. Its our feeling once again that the gamma setup is similar to last week wherein we have a bit more negative gamma to the upside as dealers are most likely long vega which would kick in on a move lower. The idea being that while we do have negative gamma on “small” moves dealers arent short “convexity” which tails that negative gamma off on downside moves. Meaning there is still some push from dealers if we go lower, but the influence from dealers may be greater on moves up. I bring this up as something to think about after the jobs data release and initial reaction. I do currently feel that the “tail risk” may currently be on a very large move higher possibly into the 2900 area in fairly short order, particularly on any type of positive data point. |
| Event | Time EST | Actual | Forecast | Previous |
| Unemployment Claims | 8:30am | 1648K | 281K | |
| Final GDP q/q | 2.1% | 2.1% |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2419.75 | 2472.5 |
| VIX Ref: | 66.03 | 64.59 |
| Gamma Per Point: | $-905,819,297.87 | $-835,706,310.60 |
| Zero Gamma Level: | 3090.0 | 3097.0 |
| Vol Trig: | 3140.0 | 3140.0 |
| High Gamma Strike Resistance: | 2455.0 Size: 0/10 | 2455.0 |
| Top Abs. Gamma Strike: | 2400.0 | 2500.0 |
| Put Wall Support: | 2400.0 Size: 2/10 | 2500.0 |
| Call Wall Strike: | 2455.0 Size: 0/10 | 2530.0 |
| CP Gam Tilt: | 0.47 | 0.5 |
| Net Delta: | $-11,130,429,642.00 | $-10,626,171,157.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 2455.0, 2540.0, 2520.0, 2535.0, 2570.0
The Volatility Trigger has moved UP: 3100.0 from: 3050.0 |