| Another jobs number may set the tone for today, but note that yesterdays job report seemed to pass with little impact. Overall gamma data remains little changed from yesterday, with 2500 remaining the key strike. We updated a very interesting OPEX chart that is now on the blog, relating to OPEX. If you think back to the large March OPEX on 3/20 it was the following Monday that market the low in the SPX. Quite interestingly the Feb SPX high was 2 days before the 2/21 Monthly OPEX, with the market crash starting the follwoing Monday. The April Monthly OPEX does not currently have much size associated with it, but may mark another turning point as it also lines up with current quarantine estimates and the start of earnings. This is something to keep an eye on. On a seperate note we plan on adding our new gamma metrics to a subscriber dedicated page, and hope to integrate this new metric into tonights closing note. We will also be adding a historical file for subs to download the raw data. |
| Event | Time EST | Actual | Forecast | Previous |
| Average Hourly Earnings m/m | 8:30am | 0.2% | 0.3% | |
| Non-Farm Employment Change | -100K | 273K | ||
| Unemployment Rate | 3.8% | 3.5% | ||
| ISM Non-Manufacturing PMI | 10:00am | 43.5 | 57.3 |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2486.5 | 2514.75 |
| VIX Ref: | 51.46 | 51.61 |
| Gamma Per Point: | $-808.29MM | $-791.00MM |
| Zero Gamma Level: | 3044.0 | 3051.0 |
| Vol Trig: | 3000.0 | 3000.0 |
| 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: | 0.58 | 0.57 |
| Net Delta: | $-8,591.26MM | $-7,896.97MM |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 2530.0, 2545.0, 2570.0, 2520.0, 2540.0
SPX is below the volatility trigger. The 3016.0 level is first level of resistance and is critical as its the negative gamma threshold. |