| The overnight session is where market moves have been happening and last night was no different. Futures touched 2925 before pulling back to 2900 ahead of the AM jobs data. The SG Gamma Index remains negative which again implies higher volatility and supports a cash session move of >1%. If 2900 holds to the cash open we’re in a (notional) gamma positive regime and we look for 2900 to provide support for todays session, with 2950 first resistance. 2850 is first support on a move lower. If the jobs number is read as positive it could spur a bit of a vanna type rally, wherein puts decay and calls pick up value spurring a quick move to 3000. Around the 3000 level we would anticipate more materially positive gamma which may help support the market and further decrease volatility. |
| 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 |
| Average Hourly Earnings m/m | 0.5% | 0.4% | ||
| Non-Farm Employment Change | -22000K | -701K | ||
| Unemployment Rate | 16.0% | 4.4% |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2913 | 2871 |
| VIX Ref: | 29.83 | 31.89 |
| SG Gamma Index: | -0.23 | -0.28 |
| Gamma Notional: | $45.06MM | $-121.52MM |
| SGI Imp. 1SD Move: | 1.12% | |
| Zero Gamma Level: | 2891.0 | 2878.0 |
| Vol Trig: | 2850 | 2845 |
| High Gamma Strike Resistance: | 3000 | 2860 |
| Top Abs. Gamma Strike: | 2800 | 2800 |
| Put Wall Support: | 2500 | 2845 |
| Call Wall Strike: | 3000 | 2860 |
| CP Gam Tilt: | 1.03 | 0.91 |
| Delta Neutral Px: | 2827.0 | |
| Net Delta: | $14,858.05MM | $14,573.91MM |
| 25D Risk Reversal | -0.12 | -0.13 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [2800, 2900, 2850, 3000, 2950] The Volatility Trigger has moved UP: 2850 from: 2845 The PutWall has moved to: 2500 from: 2845 The Call Wall has moved to: 3000 from: 2860 The High Gamma Strike has moved to: 3000 from: 2860 SPX resistance is: 3000. Support is: 2800 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $45.00MM from: $-122.00MM Gamma is tilted towards Puts, may indicate puts are expensive Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |