| ES futures edge lower in a fairly impressive display of buoyancy. Futures were flat until news that Kim Jong Un has major health issues. I note this because the oil complex is a complete mess, and ES was/is pretty dismissive. We had talked at length in regards to April OPEX being a possible turning point and despite the fairly light reaction in futures/SPX yesterday it appears this setup is in play. With low volume yesterday gamma levels are little changed, and we are watching 2800 as a resistance/pin point due to the large open interest there. If selling materializes we see 2700 as support. Keep in mind our current gamma levels are “low negative” and it would only take a bit of selling to push to “moderately negative”, and that would indicate an increase in dealer selling. If the SG Index pushes towards -1 we would anticipate a larger selloff as opposed to a moderate correction. |
| Market Outlook: |
| We look for markets to set a trend on Monday with short term targets of 3000 or 2700. |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2777 | 2812 |
| VIX Ref: | 45.71 | 43.83 |
| SG Gamma Index: | -0.28 | -0.21 |
| Gamma Per Point: | $-202.63MM | $-149.79MM |
| SGI Imp. 1SD Move: | 0.01 | |
| Zero Gamma Level: | 2920.0 | 2927.0 |
| Vol Trig: | 2825 | 2870 |
| High Gamma Strike Resistance: | 2850 | 2880 |
| Top Abs. Gamma Strike: | 2800 | 2800 |
| Put Wall Support: | 2500 | 2850 |
| Call Wall Strike: | 3100 | 2880 |
| CP Gam Tilt: | 0.85 | 0.89 |
| Delta Neutral Px: | 2833.0 | |
| Net Delta: | $14,013.22MM | $13,964.28MM |
| 25D Risk Reversal | -0.16 | -0.14 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [2800, 3000, 2900, 2850, 2500] The Volatility Trigger has moved DOWN: 2825 from: 2870 The PutWall has moved to: 2500 from: 2850 The Call Wall has moved to: 3100 from: 2880 The High Gamma Strike has moved to: 2850 from: 2880 SPX is below the volatility trigger. The 2920.0 level is first level of resistance and is critical as its the negative gamma threshold. The trigger level of: 2825 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: $-202.63MM from: $-150.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |
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