| Futures are around the 2875 level after touching 2825 overnight. The SG Gamma Index moves a bit more negative which forecasts higher volatility, however 2900 still seems the viable range top. Jobless claims are out this morning and could be a catalyst as an unexpected number could potentially shift us out of the 2800/2900 range. We anticipate the range holding, but should we see a large surprise and futures break 2900 then we may see 2900 shift to support. In turn that could imply a new range of 2900/3000 into next Fridays Monthly OPEX. Conversely as a break of 2800 could trigger a “gamma trap” situation and possibly a “shock” type move lower. |
| 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 |
| Unemployment Claims | 8:30am | 3000K | 3839K |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2872 | 2845 |
| VIX Ref: | 31.6 | 33.34 |
| SG Gamma Index: | -0.28 | -0.23 |
| Gamma Notional: | $-126.64MM | $-189.35MM |
| SGI Imp. 1SD Move: | 1.7% | |
| Zero Gamma Level: | 2879.0 | 2881.0 |
| Vol Trig: | 2845 | 2845 |
| High Gamma Strike Resistance: | 2860 | 3000 |
| Top Abs. Gamma Strike: | 2800 | 2800 |
| Put Wall Support: | 2845 | 2500 |
| Call Wall Strike: | 2860 | 3000 |
| CP Gam Tilt: | 0.92 | 0.84 |
| Delta Neutral Px: | 2843.0 | |
| Net Delta: | $14,580.26MM | $14,397.93MM |
| 25D Risk Reversal | -0.13 | -0.12 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [2800, 2900, 2850, 3000, 2700] The PutWall has moved to: 2845 from: 2500 The Call Wall has moved to: 2860 from: 3000 The High Gamma Strike has moved to: 2860 from: 3000 SPX is above the volatility trigger, resistance is: 2860 Support is: 2860 The total gamma has moved has moved UP: $-127.00MM from: $-190.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |