| Futures holding 2850 overnight. Whats quite interesting about the latest data is a convergence of indicators at that same 2850 level (Zero Gamma, Vol Trigger, Delta Neutral). The Put Wall shifts lower to 2750, and the Call Wall is picking up no positive strikes for miles (its far away). The SG Gamma Index forecasts a 1.9% move (it was 2.7% yesterday) and its a bit tough to have a directional bias here. Looking at the OI change charts there were definitely signs that puts were closed into the drop yesterday and 2800 was easily the most active volume strike (~200k volume). As we mentioned yesterday 2800 is also a very large strike for June, and mark that as support level today and a key strike going forward. The main issue we see at the moment for a sustained bullish run is a total lack of call volume (calls bring pos. gamma), and we don’t see a real “safe” (i.e. volatility declining) zone until >3000. For the downside if we break 2800 that kicks in larger negative gamma and infers a quick move down toward 2700. |
| 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 |
| Core Retail Sales m/m | -8.6% | -4.5% | ||
| Retail Sales m/m | -12.0% | -8.7% | ||
| Prelim UoM Consumer Sentiment | 10:00am | 68.0 | 71.8 |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2852 | 2837 |
| VIX Ref: | 31.87 | 33.8 |
| SG Gamma Index: | -0.57 | -0.94 |
| Gamma Notional: | $-274.10MM | $-294.39MM |
| SGI Imp. 1SD Move: | 1.9% | |
| Zero Gamma Level: | 2859.0 | 2873.0 |
| Vol Trig: | 2850 | 2825 |
| High Gamma Strike Resistance: | 3150 | 3000 |
| Top Abs. Gamma Strike: | 2800 | 2800 |
| Put Wall Support: | 2750 | 2800 |
| Call Wall Strike: | 3150 | 3000 |
| CP Gam Tilt: | 0.85 | 0.83 |
| Delta Neutral Px: | 2852.0 | |
| Net Delta: | $15,074.07MM | $15,123.06MM |
| 25D Risk Reversal | -0.13 | -0.13 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [2800, 2850, 2900, 3000, 2825] The Volatility Trigger has moved UP: 2850 from: 2825 The PutWall has moved to: 2750 from: 2800 The Call Wall has moved to: 3150 from: 3000 The High Gamma Strike has moved to: 3150 from: 3000 SPX resistance is: 3150. Support is: 2800 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $-275.00MM from: $-414.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |