| Gamma levels little changed over the weekend but the zero gamma level does continue to inch down. Interestingly the SPY zero gamma level seems to be forming close to 265-270. One thing to note about these zero gamma levels: what will likely happen is a move down in the level when we get some concrete, positive news (likely health related). This would push VIX to new lows and bring call volumes up which would drop negative gamma without needing higher SPX prices. We still have light call positioning, and the addition of large at the money or just out of the money calls could quickly reduce the negative gamma and help to push the zero gamma level lower. Like we saw last week 2500 is the large gamma level with both 2400 and 2600 as the wider range based on open interest. Lastly, its important to consider that it is month end and those flows may start today into 4/1 and various banks seem to indicate these flows may bring sizable buying and this can often manifest into the close of the trading day. |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2523.5 | 2527.0 |
| VIX Ref: | 64.81 | 64.27 |
| Gamma Per Point: | $-808,229,315.01 | $-761,789,361.41 |
| Zero Gamma Level: | 3068.0 | 3088.0 |
| Vol Trig: | 3050.0 | 3050.0 |
| High Gamma Strike Resistance: | 2530.0 Size: 0/10 | 2530.0 |
| Top Abs. Gamma Strike: | 2500.0 | 2500.0 |
| Put Wall Support: | 2500.0 Size: 3/10 | 2500.0 |
| Call Wall Strike: | 2530.0 Size: 0/10 | 2530.0 |
| CP Gam Tilt: | 0.54 | 0.57 |
| Net Delta: | $-8,006,850,666.00 | $-8,679,924,213.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 2530.0, 2455.0, 2540.0, 2555.0, 2535.0
SPX is below the volatility trigger. The 3069.0 level is first level of resistance and is critical as its the negative gamma threshold. |