| Futures extend the rally to 2900 overnight as we extend into positive gamma territory. The High Gamma Strike did shift higher to confirm the move to 2900, which should now act as a pin/magnet level as there is a fairly large amount of interest at this strike. We therefore look for the SPX to hold the 2900 level and are not anticipating a larger breakout, particularly with the FOMC tomorrow. As we shift towards a positive gamma regime the forecasts shift towards tighter trading ranges. The SG Index now implies a ~1% move whereas last week the forecast was ~2%. The range setup into May still sets up as 3000, with 2800 now support. |
| Market Outlook: |
| Estimated targets for May OPEX are 3000 or 2700. |
| Event | Time EST | Actual | Forecast | Previous |
| CB Consumer Confidence | 10:00am | 88.3 | 120.0 |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2901 | 2870 |
| VIX Ref: | 32.14 | 32.99 |
| SG Gamma Index: | 0.18 | -0.01 |
| Gamma Per Point: | $122.00MM | $-7.11MM |
| SGI Imp. 1SD Move: | 1.1% | |
| Zero Gamma Level: | 2872.0 | 2870.0 |
| Vol Trig: | 2845 | 2835 |
| High Gamma Strike Resistance: | 2900 | 2850 |
| Top Abs. Gamma Strike: | 2800 | 2800 |
| Put Wall Support: | 2500 | 2500 |
| Call Wall Strike: | 2900 | 2850 |
| CP Gam Tilt: | 1.09 | 1.0 |
| Delta Neutral Px: | 2815.0 | |
| Net Delta: | $14,599.37MM | $14,507.04MM |
| 25D Risk Reversal | -0.12 | -0.13 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [2800, 2900, 3000, 2850, 2950] The Volatility Trigger has moved UP: 2845 from: 2835 The Call Wall has moved to: 2900 from: 2850 The High Gamma Strike has moved to: 2900 from: 2850 SPX is above the volatility trigger, resistance is: 2900 Support is: 2900 The total gamma has moved has moved UP: $122.00MM from: $24.00MM Gamma is tilted towards Puts, may indicate puts are expensive Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
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