| Futures tested 2950 overnight only to pull back towards 2900, a level which remains support. The SG Index shifted from negative to positive which indicates lower volatility levels (i.e. less SPX movement) for the day. We also see an interesting convergence of the High Gamma Strike and Vol Trigger at ~2930 which indicates a pocket of positive gamma in this area. This may serve as the days resistance. Focus for us really shifts towards Fridays expiration (please see Fridays note). For the week 2900 is the key level as its the largest gamma area. With a low volume market 2900 could be a “magnet” area for the week and should serve as support/resistance. However if VIX continues to decline we think that 3000 could be the top into Friday. Should markets trend lower we note first support at 2850 and larger support at 2800. |
| Market Outlook: |
| Into Fridays May Monthly OPEX, we note 3000 as top of range, with 2900 being key to positive gamma. 2800 is the bottom of the range, with 2850 support. Depending on where the SPX closes Friday we could see state change in markets next week. |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2912 | 2922 |
| VIX Ref: | 29.9 | 28.28 |
| SG Gamma Index: | 0.15 | -0.24 |
| Gamma Notional: | $-47.03MM | $23.65MM |
| SGI Imp. 1SD Move: | 1.2% | |
| Zero Gamma Level: | 2890.0 | 2871.0 |
| Vol Trig: | 2925 | 2850 |
| High Gamma Strike Resistance: | 2930 | 3000 |
| Top Abs. Gamma Strike: | 2900 | 2800 |
| Put Wall Support: | 2700 | 2500 |
| Call Wall Strike: | 2930 | 3000 |
| CP Gam Tilt: | 0.97 | 1.06 |
| Delta Neutral Px: | 2853.0 | |
| Net Delta: | $14,676.40MM | $14,903.95MM |
| 25D Risk Reversal | -0.11 | -0.12 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [2900, 3000, 2800, 2850, 2950] The Volatility Trigger has moved UP: 2925 from: 2850 The PutWall has moved to: 2700 from: 2500 The Call Wall has moved to: 2930 from: 3000 The High Gamma Strike has moved to: 2930 from: 3000 SPX is below the volatility trigger. The 2890.0 level is first level of resistance and is critical as its the negative gamma threshold. The trigger level of: 2925 will act as overhead resistance. Watching VIX is key, if volatility comes in dealers will start to buy back shares as their short puts lose value. This could start a rally. The total gamma has moved DOWN: $-47.03MM from: $23.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |