| The data overnight has us putting a hold on the bull case. Futures are consolidating in the 3025 area, with gamma levels lower. Most notable about the data overnight was the drawdown in gamma at both 3050 and 3100 (strike change charts here). It appears this drawdown at 3050 may be more related to put positions added at that strike as opposed to the removal of calls. One of our bull signals is the buildup of positive gamma at strikes overhead, so the drawdown at both of these levels causes some concern. We mark 3000 as support and think the market trend remains in tact as long as we hold ~2970 area. The High Gamma Strike at 3050 is resistance. Additionally we note there is an expiration today and it may be worth keeping an eye on todays expiration volume in light of the action we saw Wednesday. |
| 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 |
| Core PCE Price Index m/m | -0.3% | -0.1% | ||
| Personal Spending m/m | -12.6% | -7.5% | ||
| Chicago PMI | 9:45am | 40.1 | 35.4 | |
| Revised UoM Consumer Sentiment | 10:00am | 73.7 | 73.7 | |
| Fed Chair Powell Speaks | 11:00am | |||
| President Trump Speaks | Tentative |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 3023 | 3021 |
| VIX Ref: | 29.44 | 29.19 |
| SG Gamma Index: | 0.35 | 0.31 |
| Gamma Notional: | $166.51MM | $250.45MM |
| SGI Imp. 1SD Move: | 0.91% | 2995 | 3050 |
| Zero Gamma Level: | 2970.0 | 2938.0 |
| Vol Trig: | 2965 | 2960 |
| High Gamma Strike Resistance: | 3050 | 3050 |
| Top Abs. Gamma Strike: | 3000 | 3000 |
| Put Wall Support: | 2800 | 2800 |
| Call Wall Strike: | 3050 | 3050 |
| CP Gam Tilt: | 1.11 | 1.18 |
| Delta Neutral Px: | 2874.0 | |
| Net Delta: | $15,019.52MM | $14,669.82MM |
| 25D Risk Reversal | -0.1 | -0.1 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [3200, 3150, 3100, 3050, 3025, 3000, 2950, 2900, 2850, 2800] The Volatility Trigger has moved UP: 2965 from: 2960 SPX resistance is: 3050. Support is: 3000 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $166.51MM from: $250.00MM 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% |