| Futures a bit higher overnight as the market is within reach of the 3400 High Gamma “target” which had grown steadily in “gamma size”. The open interest tool shows quite a few 3375 puts added which shifts our Absolute Gamma strike to 3375 from 3350. This shoud indicate support at 3375 with 3400 being resistance. We are anticipating a pretty quiet day inside of this range as overall gamma is also very high (>$2bn), combined with large support and resistance levels which are only 10-15 handles away. |
| Event | Time EST | Actual | Forecast | Previous |
| Core Retail Sales m/m | 8:30am | 0.3% | 0.7% | |
| Retail Sales m/m | 0.3% | 0.3% | ||
| Prelim UoM Consumer Sentiment | 10:00am | 99.5 | 99.8 |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 3381.75 | 3378.25 |
| VIX Ref: | 14 | 14.15 |
| Gamma Per Point: | $2,209,277,129.65 | $2,177,147,521.42 |
| Zero Gamma Level: | 3264.0 | 3245.0 |
| Vol Trig: | 3280.0 | 3280.0 |
| High Gamma Strike Resistance: | 3400.0 Size: 11/10 | 3400.0 |
| Top Abs. Gamma Strike: | 3375.0 | 3350.0 |
| Put Wall Support: | 3100.0 Size: 4/10 | 3100.0 |
| Call Wall Strike: | 3400.0 Size: 11/10 | 3400.0 |
| CP Gam Tilt: | 2.62 | 2.68 |
| Net Delta: | $11,015,574,488.00 | $10,837,472,320.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 3400.0, 3375.0, 3450.0, 3350.0, 3390.0 SPX resistance is: 3400.0. Support is: 3375.0 .Reference ‘Intraday Support’ levels for support areas. |
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