| Futures tested 2800 overnight before backing off to the 2775 area. Open interest data shows larger positions built up at 2800, particularly on the call side which may help it hold as resistance. Again we’re looking for tomorrow mornings AM expiration as a catalyst and do not expect much out of todays market – particularly once we get through this AM’s job report. We will have a few data points around tomorrows expiration for this evenings report. |
| Market Outlook: |
| 2800 playing as a key strike with resistance building over that level and 2700 support. |
| Event | Time EST | Actual | Forecast | Previous |
| Unemployment Claims | 5350K | 6606K | ||
| Building Permits | 1.30M | 1.45M | ||
| Philly Fed Manufacturing Index | -30.0 | -12.7 |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2775 | 2767 |
| VIX Ref: | 41.97 | 40.84 |
| SG Gamma Index: | -0.34 | -0.15 |
| Gamma Per Point: | $-247.36MM | $-107.26MM |
| SGI Imp. 1SD Move: | 2.0% | |
| Zero Gamma Level: | 2935.0 | 2892.0 |
| Vol Trig: | 2780 | 2755 |
| High Gamma Strike Resistance: | 2800 | 2900 |
| Top Abs. Gamma Strike: | 2800 | 2800 |
| Put Wall Support: | 2600 | 2500 |
| Call Wall Strike: | 2800 | 2900 |
| CP Gam Tilt: | 0.85 | 0.93 |
| Delta Neutral Px: | 0 | |
| Net Delta: | $16,344.77MM | $15,939.87MM |
| 25D Risk Reversal | -0.14 | -0.13 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [2800, 2750, 2900, 2700, 3000] SPX is below the volatility trigger. The 2935.0 level is first level of resistance and is critical as its the negative gamma threshold. The trigger level of: 2780 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 DOWN: $-247.36MM from: $-243.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |