| Futures are building on gains from yesterday and there is little change in levels overnight. We remain in this grey gamma neutral area between 2800 & 2900. Yesterdays Open Interest charts showed interesting activity in puts wherein the change in open interest was net negative from ~3100 to ~2850. This indicates puts were closed into the selloff and that was possibly what helped us push up off of 2800. As with yesterday we look for resistance into 2900 and support at 2800 today. |
| Market Outlook: |
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| Into May we note 3000 as top of range, with 2900 being key to positive gamma. 2800 is the bottom of the range, with negative gamma and the possibility of a sharp “gamma trap” type move lower should that level break. |