| We sincerely apologize for the delay in todays note. We’ve been battling connectivity issues this morning – generally we would just switch locations which you can’t do during quarantine. At any rate its a very interesting market today as futures are up sharply after Trumps update last night. Whats curious is that our gamma levels all pushed a bit more negative over the weekend – so we have a bit of a divergence here (note the SG index went more negative – indicating higher volatility). While that divergence is in put/call ratios the large gap up in futures does drop overall gamma down quite a bit. 2600 is now ranking as a top 5 put and call level – so it may have some holding power similar to 2500 last week. As such we don’t see the market making a serious push over 2600 without a fresh round of constructive news.. |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2575.0 | 2484.0 |
| VIX Ref: | 44.79 | 48.22 |
| SG Gamma Index: | -10.6 | -0.7 |
| Gamma Per Point: | $-673.27MM | $-811.68MM |
| Zero Gamma Level: | 3044 | 3052.0 |
| Vol Trig: | 3025.0 | 3000.0 |
| High Gamma Strike Resistance: | 2570.0 Size: 0/10 | 2530.0 |
| Top Abs. Gamma Strike: | 2600.0 | 2500.0 |
| Put Wall Support: | 2550.0 Size: 2/10 | 2500.0 |
| Call Wall Strike: | 2585.0 Size: 0/10 | 2530.0 |
| CP Gam Tilt: | 0.65 | 0.57 |
| Net Delta: | $-5,908.04MM | $-8,659.20MM |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 2570.0, 2580.0, 2585.0, 2530.0, 2545.0
The Volatility Trigger has moved UP: 3025.0 from: 3000.0 |