| Futures tested the 2725 area overnight and are currently around 2750. Gamma remains fairly flat to Thursdays close as we open the week. We have Friday highlighted as a key date this week as Aprils Monthly OPEX takes place. While put/call positioning is on the lighter side a fairly large chunk of that will be removed Friday and that may open a new range for markets. We see support for markets into the 2650 area with resistance building on any move over 2800. Baring a major headline we think the market could hold this range into Friday and break that range next week. This is based off of what we have seen the last two Monthly expirations – granted they were quite larger. Earnings are also begining to pick up, with forward guidance being key. Lastly, we have fully implemented the new gamma strategy and integrated it fully into the reports. An udated, more accurate volatility surface is included with this providing improved granularity. This should clean up issues wherein the chart tables and graphs would not always sync. |
| Event | Time EST | Actual | Forecast | Previous |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2752 | 2775 |
| VIX Ref: | 44.18 | 43.26 |
| SG Gamma Index: | -.30 | -.30 |
| Gamma Per Point: | $-220.45MM | $-268.64MM |
| SGI Imp. 1SD Move: | 2.0% | |
| Zero Gamma Level: | 2944.0 | 2961.0 |
| Vol Trig: | 3025 | 3025 |
| High Gamma Strike Resistance: | 2800 | 2800 |
| Top Abs. Gamma Strike: | 2800 | 2800 |
| Put Wall Support: | 2500 | 2500 |
| Call Wall Strike: | 2800 | 2800 |
| CP Gam Tilt: | 0.85 | 0.83 |
| Net Delta: | $15,726.64MM | $15,712.36MM |
| Model Forecast: |
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The trigger level of: 2775 will act as overhead resistance. Watching VIX is key, if volatility comes in dealers will start to buy back shares as their short puts lose value. This could start a rally. The total gamma has moved has moved UP: $-221.00MM from: $-222.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |