| This was apparently the largest SPX gain (cash session) every to close negative on the day. Curiously options volume on the day was decent but with a put call ratio of 1.1 – so that call volume we keep clamoring for comes on a day with a large reversal. The largest strikes for call volume was 2900 and 3000 and it looks to me like a fair amount of those were sold. As mentioned this morning there is some decent OI at 2600 and 2500 which suggests some support if we move lower. We were left questioning ourselves about this “divergence” between our options data and this rampant rally, and while we dont know what tomorrow brings we do think that things sync up in the 2500-2600 area. One admin note: if you visit https://spotgamma.com/portal/ we’ve made the SG Gamma Index historical data available for download (towards the bottom of the page). If you come up with any interesting charts or stats please let us know! |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2664.75 | 2733.5 |
| VIX Ref: | 44.55 | 44.3 |
| SG Gamma Index: | -6.3 | |
| Gamma Per Point: | $-468.89MM | $-381.33MM |
| Zero Gamma Level: | 3031.0 | 3044.0 |
| Vol Trig: | 3025.0 | 3025.0 |
| High Gamma Strike Resistance: | 2670.0 Size: 1/10 | 2780.0 |
| Top Abs. Gamma Strike: | 2700.0 | 2700.0 |
| Put Wall Support: | 2600.0 Size: 1/10 | 2750.0 |
| Call Wall Strike: | 2685.0 Size: 0/10 | 2780.0 |
| CP Gam Tilt: | 0.72 | 0.76 |
| Net Delta: | $-3,182.98MM | $-1,236.04MM |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 2670.0, 2655.0, 2635.0, 2685.0, 2660.0 The PutWall has moved to: 2600.0 from: 2750.0 |
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