| Futures are holding that key 2800 level as we await jobs data this AM. Call gamma, which brings us stability has just been smothered the last 2 sessions as shown in the CP Tilt figure. Backing our “Put Wall” note from yesterday we saw a lot of puts closed yesterday (see OI Change Charts) which may have buoyed notional gamma. However the SG Gamma Index shifted to its most “volatile” zone (2nd Image) of -1 which forecasts a large move into OPEX. We have been highlighting tomorrows OPEX as a catalyst and clearly looks like we are setup for a big move. Its interesting to note that we have only moved about 40 SPX handles since April expiation (30 days ago) and we anticipate this “range” to be broken into next week. Our original sentiment was that this volatility would start next week but clearly the market has started early. June has plenty of chunky strikes with open interest levels >50k, and these can provide a lot of deltas to keep markets moving. If you recall March volatility our view was that much of the SPX movement was driven by huge, deep in the money put positions. These large positions may have required very large hedges which kept fueling moves in both directions. While June size is less than March it has enough to propel things. For today if we can get above the 2825 area it could spur a rally. We’d exercise great caution on a break of 2800 with negative gamma there to possibly fuel a large move down. |
| 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 |
| Unemployment Claims | 2500K | 3169K |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2807 | 2820 |
| VIX Ref: | 36.1 | 35.28 |
| SG Gamma Index: | -0.92 | -0.34 |
| Gamma Notional: | $-432.51MM | $-531.58MM |
| SGI Imp. 1SD Move: | 2.7% | |
| Zero Gamma Level: | 2871.0 | 2913.0 |
| Vol Trig: | 2825 | 2895 |
| High Gamma Strike Resistance: | 3000 | 3000 |
| Top Abs. Gamma Strike: | 2800 | 2900 |
| Put Wall Support: | 2800 | 2800 |
| Call Wall Strike: | 3000 | 3000 |
| CP Gam Tilt: | 0.76 | 0.71 |
| Delta Neutral Px: | 2835.0 | |
| Net Delta: | $14,961.82MM | $14,498.25MM |
| 25D Risk Reversal | -0.13 | -0.12 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [2800, 2900, 2850, 2750, 3000] SPX is below the volatility trigger. The 2871.0 level is first level of resistance and is critical as its the negative gamma threshold. The trigger level of: 2825 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: $-432.51MM from: $-414.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |
0 comentarios