| Anti-gravity didn’t last all that long as we are now just under 2500 in futures. 2500 is now the high gamma strike for the day, with negative gamma building back up a bit overnight. We have pretty light put interest (relative to March) and that could become an issue for the rally here. If traders feel the need to add hedges we could see more pressure in the markets as put buying pushes dealers to short futures (customer long put, dealer short put and must hedge using short futures). Of course there is some irony in that, but it is also those put purchases that can help spur rallies when they unwind. The point is that this could put markets in a bit of a precarious position as we have 1) negative gamma that may lead dealers to short if the market goes lower and 2) (if) we get put buying in size that also may cause dealers to short futures. This is not a statement that I think a selloff is imminent, but should a selloff start it could gain steam rather quickly. |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2483.75 | 2575.0 |
| VIX Ref: | 59.59 | 53.41 |
| Gamma Per Point: | $-834.48MM | $-755.74MM |
| Zero Gamma Level: | 3063.0 | 3062.0 |
| Vol Trig: | 3000.0 | 3025.0 |
| High Gamma Strike Resistance: | 2455.0 Size: 0/10 | 2530.0 |
| Top Abs. Gamma Strike: | 2500.0 | 2600.0 |
| Put Wall Support: | 2500.0 Size: 3/10 | 2500.0 |
| Call Wall Strike: | 2530.0 Size: 0/10 | 2530.0 |
| CP Gam Tilt: | 0.53 | 0.58 |
| Net Delta: | $-8,999.09MM | $-6,676.07MM |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 2455.0, 2530.0, 2545.0, 2460.0, 2535.0 The Volatility Trigger has moved DOWN: 3000.0 from: 3025.0 |
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