| All that call volume yesterday shifted gamma numbers positive despite a bit of consolidation in futures. Our SG Index makes a major move to positive 0.6 which forecasts a ~1% move today (y’day was ~2%). The other levels are filling in where expected with support at 2900 and initial resistance showing at 2970. This was good data for the bullish case with 2900 now being key towards maintaining a positive outlook for the SPX. |
| Market Outlook: |
| June Expiration range top: 3000, key support 2900. Break below 2900 invites a larger drawdown due to negative gamma. |
| Event | Time EST | Actual | Forecast | Previous |
| Building Permits | 8:30am | 1.00M | 1.35M | |
| Fed Chair Powell Testifies | 10:00am |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2930 | 2961 |
| VIX Ref: | 29.96 | 28.78 |
| SG Gamma Index: | 0.66 | -0.52 |
| Gamma Notional: | $2.60MM | $54.75MM |
| SGI Imp. 1SD Move: | 0.9% | |
| Zero Gamma Level: | 2908.0 | 2881.0 |
| Vol Trig: | 2890 | 2860 |
| High Gamma Strike Resistance: | 2970 | 3000 |
| Top Abs. Gamma Strike: | 3000 | 2800 |
| Put Wall Support: | 2800 | 2850 |
| Call Wall Strike: | 2970 | 3000 |
| CP Gam Tilt: | 1.0 | 1.13 |
| Delta Neutral Px: | 2843.0 | |
| Net Delta: | $13,782.60MM | $13,947.22MM |
| 25D Risk Reversal | -0.1 | -0.13 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [3000, 2900, 2800, 2975, 2970] The Volatility Trigger has moved UP: 2890 from: 2860 The PutWall has moved to: 2800 from: 2850 The Call Wall has moved to: 2970 from: 3000 The High Gamma Strike has moved to: 2970 from: 3000 SPX resistance is: 3000 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $2.60MM from: $54.00MM 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% |