| Overnight readings show gamma moves closer to zero, with a bit more call positioning forming at the 2700 strike. In talking with one of our clients yesterday we came across the perfect analogy to describe our current view. Most of you have probably seen the planes which take people up near space where they get to float in mid air and feel zero gravity. Thats how I currently view SPX prices – we’ve been suddenly propelled by negative gamma, inflows, stimulus and short covering and now prices are in that zero gravity area. This is not to say that they come crashing back down to earth, more that they’ve now burned off their external fuel supply. Options interest is not very large at the moment and volumes have been light indicating that dealers arent of much impact here (note SPY is very close to zero gamma) except possibly around the large gamma strikes. For now we still think we see lower volatility (smaller price distribution) and consolidation, while acknowledging that today could bring more large month end buy inflows. The larger range is still 2500-2700 with 2600 being the pivot/pin area due to it having the largest amount of gamma. |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2625.5 | 2607.75 |
| VIX Ref: | 55.73 | 57.26 |
| Gamma Per Point: | $-699.72MM | $-722.37MM |
| Zero Gamma Level: | 3065.0 | 3068.0 |
| Vol Trig: | 3025.0 | 3050.0 |
| High Gamma Strike Resistance: | 2620.0 Size: 1/10 | 2620.0 |
| Top Abs. Gamma Strike: | 2600.0 | 2600.0 |
| Put Wall Support: | 2600.0 Size: 2/10 | 2600.0 |
| Call Wall Strike: | 2670.0 Size: 0/10 | 2620.0 |
| CP Gam Tilt: | 0.59 | 0.58 |
| Net Delta: | $-5,377.18MM | $-5,931.84MM |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 2620.0, 2635.0, 2585.0, 2545.0, 2615.0 The Volatility Trigger has moved DOWN: 3025.0 from: 3050.0 |
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