| Futures are fairly flat to Fridays close despite a tragic weekend here in the US. It was difficult to filter an emotional bias out of todays data, particularly given the unusual shifts in levels. The OI change charts indicate that there we are lot of calls <3040 closed and >3040 added in SPX/SPY on Friday. That leaves us with net gamma values that are flat to slightly lower as we exchanged at the money calls (high gamma) for out of the money calls (lower gamma). You can see that our key levels have consolidated around the 3040/3050 area which is interesting as it has been such a magnet for SPX prices over the last several days. There was an increase in positive gamma at the overhead 3050/3100 strikes, which we regard as market positive. However, the fact that the Vol Trigger/Put Wall moved toward current ES futures prices is both unique and potentially bearish. I mention “unique” because we generally dont see these values jump higher to meet the current SPX price. Typically we start with more “padding” between these two levels and current market prices. The Zero Gamma level is still below 3000 and we still consider that level (3000) key support despite the Vol Trigger at 3040. As we have seen the market has shown an ability to move quickly from ~3040 to 3000 and we anticipate that being the case today. To the upside 3050 is the High Gamma Strike (resistance) and we see fairly heavy resistance lines noted at 3055 in our SPX/SPY combo chart. To summarize all this: initial support/resistance at 3040 (depending on cash open level) with larger support at 3000. 3050-3055 resistance. |
| 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 |
| ISM Manufacturing PMI | 10:00am | 43.5 | 41.5 |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 3035 | 3040 |
| VIX Ref: | 29.84 | 28.06 |
| SG Gamma Index: | 0.40 | 0.35 |
| Gamma Notional: | $166.72MM | $267.84MM |
| SGI Imp. 1SD Move: | 1.5% | 2989 | 3080 |
| Zero Gamma Level: | 2982.0 | 2987.0 |
| Vol Trig: | 3040 | 2965 |
| High Gamma Strike Resistance: | 3050 | 3050 |
| Top Abs. Gamma Strike: | 3050 | 3000 |
| Put Wall Support: | 3040 | 2800 |
| Call Wall Strike: | 3050 | 3050 |
| CP Gam Tilt: | 1.12 | 1.18 |
| Delta Neutral Px: | 2886.0 | |
| Net Delta: | $14,758.10MM | $15,103.99MM |
| 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: 3040 from: 2965 The PutWall has moved to: 3040 from: 2800 SPX is below the volatility trigger. The 2982.0 level is first level of resistance and is critical as its the negative gamma threshold. The trigger level of: 3040 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: $166.72MM from: $267.00MM 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% |