| Futures overnight bounced off the 2845 level which is just at the volatility trigger and a large gamma level of 2850. Despite little volume yesterday there was a few interesting shifts in key levels. First the High Gamma Strike (we see as resistance) moved to 3000, which denotes that this is where the most call gamma sits. This level change was not due to a large call addition at 3000, but apparently calls being removed at 2850. Second the Put Wall moves down towards 2500 from 2700. Put volume yesterday seemed to indicate players adding hedges into the rally and lower vols and this is reflected in this indicator shifting lower. I would note these quick shifts in levels speaks to how fluid this situation is due to lack of volume and open interest. While we still see the 2800-2900 range in play, one large player could shift the board quite quickly. |
| Market Outlook: |
| 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. |
| Event | Time EST | Actual | Forecast | Previous |
| ADP Non-Farm Employment Change | 8:15am | -20500K | -27K |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2882 | 2860 |
| VIX Ref: | 32.28 | 32.95 |
| SG Gamma Index: | -0.24 | -0.16 |
| Gamma Notional: | $-85.96MM | $-180.26MM |
| SGI Imp. 1SD Move: | 1.14% | |
| Zero Gamma Level: | 2889.0 | 2896.0 |
| Vol Trig: | 2845 | 2840 |
| High Gamma Strike Resistance: | 3000 | 2850 |
| Top Abs. Gamma Strike: | 2800 | 2800 |
| Put Wall Support: | 2500 | 2700 |
| Call Wall Strike: | 3000 | 2850 |
| CP Gam Tilt: | 0.94 | 0.91 |
| Delta Neutral Px: | 2824.0 | |
| Net Delta: | $14,583.89MM | $14,448.86MM |
| 25D Risk Reversal | -0.12 | -0.14 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [2800, 2900, 3000, 2850, 2700] The Volatility Trigger has moved UP: 2845 from: 2840 The PutWall has moved to: 2500 from: 2700 The Call Wall has moved to: 3000 from: 2850 The High Gamma Strike has moved to: 3000 from: 2850 SPX resistance is: 3000. Support is: 2800 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $-86.00MM from: $-181.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |