| Futures pulled back some overnight to the 2950 level but held a pretty tight range. We see (and have been seeing) both the Zero Gamma level and Vol Trigger shift higher over the last several days, and the Vol Trigger actually above moved above SPX to 2970. This is interesting because if you look at the OI Change (here) you can see that we net closed calls below 295 & 2950. Despite that drop in call interest we registered a slightly higher total gamma number today. This activity seems to suggest that the options market is shifting up with SPX movement, but also reflects the rather poor options volume/open interest. You could argue the higher Vol Trigger is a bit more in sync with our notion that “real” positive gamma appears at 3000. As this shift occured on light volume We want to see this VT level hold tomorrow to cofirm. Finally, we also see the High Gamma strike at 2980 which is a level that has stopped the market on a few recent attempts. This sets up a fairly clear range of 2950 – 2980 on a move higher. A break lower may still see support at 2900. The Fed speaks later today which always adds uncertainty to any outcome. |
| 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 |
| Philly Fed Manufacturing Index | -40.0 | -56.6 | ||
| Unemployment Claims | 2400K | 2981K | ||
| Flash Manufacturing PMI | 9:45am | 39.3 | 36.1 | |
| Fed Chair Powell Speaks | 2:30pm |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2949 | 2971 |
| VIX Ref: | 28.7 | 27.99 |
| SG Gamma Index: | 0.41 | 0.02 |
| Gamma Notional: | $63.27MM | $215.70MM |
| SGI Imp. 1SD Move: | 1.2% | 2913.612 | 2984.388 |
| Zero Gamma Level: | 2927.0 | 2919.0 |
| Vol Trig: | 2970 | 2920 |
| High Gamma Strike Resistance: | 2980 | 3000 |
| Top Abs. Gamma Strike: | 3000 | 2900 |
| Put Wall Support: | 2800 | 2800 |
| Call Wall Strike: | 2980 | 3000 |
| CP Gam Tilt: | 1.04 | 1.16 |
| Delta Neutral Px: | 2861.0 | |
| Net Delta: | $14,094.14MM | $14,072.41MM |
| 25D Risk Reversal | -0.09 | -0.11 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [3000, 2900, 2800, 2950, 2975] The Volatility Trigger has moved UP: 2970 from: 2920 The Call Wall has moved to: 2980 from: 3000 The High Gamma Strike has moved to: 2980 from: 3000 SPX is below the volatility trigger. The 2927.0 level is first level of resistance and is critical as its the negative gamma threshold. The trigger level of: 2970 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: $63.27MM from: $215.00MM 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% |