| Futures test 2750 before returning to the key 2800 strike. If you review the OI Change charts from last night you can see just how concentrated the 2800 volume was yesterday. As a result our forecast from yesterday remains unchanged with 2800 our anticipated closing target. It is important to keep an eye on the VIX and put volumes as we still have the risk of negative gamma kicking into gear on a downside test. If we selloff with higher volumes and a markedly higher VIX that may influence dealer selling, particularly on a break of 2750. |
| Market Outlook: |
| 2800 the midpoint strike as volume for May and June building there. Expecting mean reversion around 2800 on various time frames. |
| Event | Time EST | Actual | Forecast | Previous |
| Durable Goods | 8:30am | -6.1% | -0.6% | |
| Core Durable Goods | 8:30am | -12.0% | 1.2% |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2799 | 2781 |
| VIX Ref: | 40.11 | 41.38 |
| SG Gamma Index: | -0.33 | -0.16 |
| Gamma Per Point: | $-237.95MM | $-118.01MM |
| SGI Imp. 1SD Move: | 1.4% | |
| Zero Gamma Level: | 2885.0 | 2903.0 |
| Vol Trig: | 2825 | 2795 |
| High Gamma Strike Resistance: | 2850 | 2825 |
| Top Abs. Gamma Strike: | 2800 | 2800 |
| Put Wall Support: | 2500 | 2500 |
| Call Wall Strike: | 2850 | 2825 |
| CP Gam Tilt: | 0.83 | 0.91 |
| Delta Neutral Px: | 2827.0 | |
| Net Delta: | $14,352.48MM | $14,166.69MM |
| 25D Risk Reversal | -0.15 | -0.16 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [2800, 3000, 2900, 2850, 2750] The Volatility Trigger has moved UP: 2825 from: 2795 The Call Wall has moved to: 2850 from: 2825 The High Gamma Strike has moved to: 2850 from: 2825 SPX is below the volatility trigger. The 2885.0 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: $-237.95MM from: $-184.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |