| Futures are back retesting the 2900 level which remains our High Gamma strike and implies resistance. 2900 is the first real level of positive gamma we have seen since the crash and you can visualize the buildup in the chart here: “Call Gamma by Strike”. However the current positive gamma at this strike is maybe 1/10th of levels we saw at various strikes back in February. On the downside, due to that put activity yesterday we see the SG Index has moved back to the negative side, and the zero gamma level has shifted up towards 2888. All these levels are now quite consolidated around 2900, with the “safety” of positive gamma above and the possibility of expanding volatility should we stay below 2900. Of course we have the Fed and FOMC decision today which should act as the catalyst to solidify which gamma regime we’re in for the near future. |
| Market Outlook: |
| Estimated targets for May OPEX are 3000 or 2700. |
| Event | Time EST | Actual | Forecast | Previous |
| Advance GDP q/q | 8:30am | -4.0% | 2.1% | |
| Advance GDP Price Index q/q | 1.0% | 1.3% | ||
| Pending Home Sales m/m | 10:00am | -13.3% | 2.4% | |
| FOMC Statement | 2:00pm | |||
| Federal Funds Rate | <0.25% | <0.25% | ||
| FOMC Press Conference | 2:30pm |
| Signal Name | Latest Data | Previous | |
| SPX Ref: | 2888 | 2855 | |
| VIX Ref: | 32.8 | 34.07 | |
| SG Gamma Index: | -0.12 | 0.17 | |
| Gamma Per Point: | $-85.99MM | $120.06MM | |
| SGI Imp. 1SD Move: | 0.01 | ||
| Zero Gamma Level: | 2888.0 | 2883.0 | |
| Vol Trig: | 2845 | 2845 | |
| High Gamma Strike Resistance: | 2900 | 2900 | |
| Top Abs. Gamma Strike: | 2800 | 2800 | |
| Put Wall Support: | 2500 | 2500 | |
| Call Wall Strike: | 2900 | 2900 | |
| CP Gam Tilt: | 0.94 | 1.09 | |
| Delta Neutral Px: | 2831.0 | ||
| Net Delta: | $14,653.76MM | $14,366.64MM | |
| 25D Risk Reversal | -0.13 | -0.12 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [2800, 3000, 2900, 2850, 2950] SPX resistance is: 2900. Support is: 2800 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $-85.99MM from: $35.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |