| Not much change overnight as we enter the final day of trading for the week. One of our subs pointed out an article on ZeroHedge with an interesting note from Morgan Stanley: “Tactical Put and Call volumes continue to drop, with on average just $550MM/day of gamma trading in the last week (lowest in 2Y…). In delta terms, call volumes are now 60% below the March peak of $14bn/day, Put volumes are 90% lower vs. the $40b/day March peak.” This syncs up with our view of late that we wanted to see call interest pickup to help support the market (calls bring positive gamma). While we had one decent day of call volumes they are still on the lighter side. At this point we doubt positive gamma or real call volume will appear before next Fridays large expiration and so we anticipate staying in the low but negative gamma range in the SPX. In turn this implies volatility will remain at current levels, too. April OPEX (next Friday) is much smaller than the March OPEX, however volumes across the board (options, futures, equities) have all come in from record levels. All assets having lower volumes may therefore give a little more impact to Aprils expiration and could be a notable turning point. As a reminder, today we contend with Jobless claims at 8:30 and an OPEC meeting at 10AM. |
| Event | Time EST | Actual | Forecast | Previous |
| Unemployment Claims | 5000K | 6648K | ||
| Core PPI m/m | 0.0% | -0.3% | ||
| PPI m/m | -0.3% | -0.6% | ||
| Fed Chair Powell Speaks | 10:00am | |||
| Prelim UoM Consumer Sentiment | 75.0 | 89.1 |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2719.0 | 2744.75 |
| VIX Ref: | 44.87 | 43.28 |
| SG Gamma Index: | -3.9 | |
| Gamma Per Point: | $-419.69MM | $-357.05MM |
| Zero Gamma Level: | 2967.0 | 3010.0 |
| Vol Trig: | 3025.0 | 3025.0 |
| High Gamma Strike Resistance: | 2730.0 Size: 0/10 | 2780.0 |
| Top Abs. Gamma Strike: | 2700.0 | 2750.0 |
| Put Wall Support: | 2700.0 Size: 1/10 | 2750.0 |
| Call Wall Strike: | 2785.0 Size: 0/10 | 2780.0 |
| CP Gam Tilt: | 0.75 | 0.78 |
| Net Delta: | $-1,626.25MM | $-888.62MM |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 2730.0, 2785.0, 2715.0, 2745.0, 2770.0
The PutWall has moved to: 2700.0 from: 2750.0 |