| Futures are currently a bit under 2800 which is the level we anticipate providing resistance into OPEX. Gamma levels did push toward zero overnight with the zero gamma level breaking 2900, but we do not see a reason to change our view of a rangebound/churn into Friday (Apr OPEX). That being said if we experience a sharp rally there is a lot of gamma at 2900 strike, and the “zero gamma” level often provides resistance. We saw some data on ES futures volume this morning that pointed out that depth of book is 1/3 of what it was in January, which is interesting as we have had very low levels of gamma, too. Our view of gammas importance translates into futures volume – larger gamma levels indicates more hedging (ES futures) volume from dealers. This is pertinent not only to watching the market into OPEX with 2800 being the high volume strike (see yesterday AM’s note) but also as we “reset” the board on Friday and a new options range is setup. We may see dealers able to push the market to their “delta neutral” zone with less resistance. |
| Market Outlook: |
| Large open interest at 2600,2700 should provide support with resistance building into 2900. Looking at OPEX on 4/17 as a turning point. |
| Event | Time EST | Actual | Forecast | Previous |
| Core Retail Sales m/m | 8:30am | -4.9% | -0.4% | |
| Retail Sales m/m | -8.0% | -0.5% |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2795 | 2838 |
| VIX Ref: | 40.81 | 38.04 |
| SG Gamma Index: | -0.2 | -0.4 |
| Gamma Per Point: | $-108.34MM | $-250.11MM |
| SGI Imp. 1SD Move: | 2.0% | |
| Zero Gamma Level: | 2899.0 | 2944.0 |
| Vol Trig: | 2755 | 2760 |
| High Gamma Strike Resistance: | 2900 | 2780 |
| Top Abs. Gamma Strike: | 2800 | 2800 |
| Put Wall Support: | 2500 | 2500 |
| Call Wall Strike: | 2900 | 2900 |
| CP Gam Tilt: | 0.93 | 0.84 |
| Net Delta: | $16,099.72MM | $16,330.31MM |
| 25D Risk Reversal | -0.13 | -0.15 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [2800, 2900, 3000, 2850, 2750] SPX resistance is: 2800 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $-109.00MM from: $-111.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |