| Markets are down some in reaction to AAPLs profit warning. Market gamma still reads high, with our key levels to watch today being 3350 and 3375. We should have dealer support into market selling, particularly if we’re above 3350. The key question(s) for today are: 1) will there be a lot of put buying/hedging 2) will this profit warning start to bring larger sellers out. For 1) put buying helps more quickly shift gamma negative. Item 2 is something to think about as higher equity/futures volumes degrade gamma hedging impact. I’m not in a position to suggest large waves of selling are about to take place from larger macro players – just simply pointing out that $5 billion of fund sales will overwhelm $1bn in gamma hedging. Its for this reason that if 3350 is broken I would be concerned even though market gamma would probably still read >$1bn (I usually use $1bn as my divider between “bullish” and “neutral”). Another thing to be aware of is the larger Feb OPEX on Friday. It is of good size at the moment, particularly on the call side. As those calls expire and/or roll that can have an impact on total gamma even if SPX prices don’t move much. This is all combing to provide a reasonable setup for volatility to increase, and/or for catalysts to have more impact. Therefore, again the range we’re watching is 3350 as key support, with 3375 our first upside stop and 3400 our top end of the range in a larger rally. |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 3366.75 | 3377.5 |
| VIX Ref: | 15.22 | 13.9 |
| Gamma Per Point: | $2,032,850,939.57 | $2,163,795,115.93 |
| Zero Gamma Level: | 3250.0 | 3260.0 |
| Vol Trig: | 3280.0 | 3280.0 |
| High Gamma Strike Resistance: | 3400.0 Size: 9/10 | 3400.0 |
| Top Abs. Gamma Strike: | 3375.0 | 3375.0 |
| Put Wall Support: | 3100.0 Size: 4/10 | 3100.0 |
| Call Wall Strike: | 3400.0 Size: 9/10 | 3400.0 |
| CP Gam Tilt: | 2.21 | 2.51 |
| Net Delta: | $10,221,397,401.00 | $10,795,357,238.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 3400.0, 3375.0, 3350.0, 3450.0, 3390.0
SPX resistance is: 3375.0 .Reference ‘Intraday Support’ levels for support areas. |