| Futures tested 2900 overnight and held the zero gamma level (2905). We have jobless claims this AM which may impact markets before the open. 2950 sets up as resistance, and 2900 as “cautious” support. I say cautious because while there is large open interest at 2900, it also marks negative gamma territory. The Vol Trigger shifts back down to 2930 and may be a key support/resistance pivot today. This VT level movement is likely due to call reduction and/or put addition yesterday. One of the most interesting data shifts overnight was a drawdown in positive gamma at the 3000 strike. This indicates calls were closed at that level and its not what we like to see for the bull case. Countering this was an increase in OI at the 300 strike in SPY (charts here). I am going to investigate if there is any major reason why SPY would jump in OI and SPX would reduce (besides the obvious retail/institutional positions). Regardless, the larger picture remains that we face resistance overhead (>2950) with the possibility of volatility expansion on a break of 2900. |
| Market Outlook: |
| Going to June OPEX we see 3000 resistance and 2900 as key support. Below 2900 exposes us to an increase in negative gamma and the potential of large drawdowns. |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2926 | 2944 |
| VIX Ref: | 30.41 | 29.14 |
| SG Gamma Index: | 0.10 | 0.41 |
| Gamma Notional: | $-61.13MM | $39.18MM |
| SGI Imp. 1SD Move: | 1.4% | 2885.036 | 2966.964 |
| Zero Gamma Level: | 2904.0 | 2921.0 |
| Vol Trig: | 2930 | 2970 |
| High Gamma Strike Resistance: | 3000 | 2980 |
| Top Abs. Gamma Strike: | 3000 | 3000 |
| Put Wall Support: | 2800 | 2800 |
| Call Wall Strike: | 3000 | 2980 |
| CP Gam Tilt: | 0.96 | 1.03 |
| Delta Neutral Px: | 2839.0 | |
| Net Delta: | $14,044.35MM | $14,069.06MM |
| 25D Risk Reversal | -0.1 | -0.09 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [3000, 2900, 2800, 2950, 2850] SPX is below the volatility trigger. The 2904.0 level is first level of resistance and is critical as its the negative gamma threshold. The trigger level of: 2930 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 has moved UP: $-62.00MM from: $-63.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |