| Futures are set to test the High Gamma Strike of 3100 this morning as the run-up continues. We saw notional gamma levels increase overnight and the 3100 level grow in size. It seems like there was more activity far out of the money yesterday in SPY & SPX with calls being opened >330/3300. We can’t be sure which side these calls are on (long/short), however we haven’t noticed this type of activity in a while. Its interesting that it is decent size and occurs after a large move in markets – so I am reading this as call sales. We also saw the largest volume strike at 3050 yesterday wherein about 35k each of calls and puts traded, but only a 5k net OI change for calls and a 15k net OI change for puts. So, positions underneath the SPX price still appear as being closed/rolled which places a bit more emphasis on 3100 needing to “hold” for the bulls. Put positions overall do look a bit light until the 3000 strike, and as we continue to rise it appears there is a lack of “structure” underneath as calls are consistently closed when the market moves up. We do have a fair amount of positive gamma which should provide some support for markets, however the first strike that appears as support for us is 3050. To the upside we obviously watch 3100 as resistance, with our SPX/SPY combo showing resistance at 3125 if we break out. |
| Market Outlook: |
| Support at 3000 into June, with a break in bull trend and higher volatility anticipated below that level. 3100 is setting up as resistance. |
| Event | Time EST | Actual | Forecast | Previous |
| ADP Non-Farm Employment Change | 8:15am | -9000K | -20236K | |
| ISM Non-Manufacturing PMI | 44.2 | 41.8 |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 3094 | 3073 |
| VIX Ref: | 26.72 | 26.82 |
| SG Gamma Index: | 0.41 | 0.30 |
| Gamma Notional: | $445.79MM | $300.95MM |
| SGI Imp. 1SD Move: | 1.05% | 3061 | 3126 |
| Zero Gamma Level: | 3010.0 | 2989.0 |
| Vol Trig: | 2995 | 3055 |
| High Gamma Strike Resistance: | 3100 | 3100 |
| Top Abs. Gamma Strike: | 3000 | 3000 |
| Put Wall Support: | 2800 | 2800 |
| Call Wall Strike: | 3100 | 3100 |
| CP Gam Tilt: | 1.34 | 1.23 |
| Delta Neutral Px: | 2884.0 | |
| Net Delta: | $15,234.67MM | $14,986.18MM |
| 25D Risk Reversal | -0.09 | -0.1 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [3200, 3150, 3100, 3050, 3025, 3000, 2950, 2900, 2850, 2800] The Volatility Trigger has moved DOWN: 2995 from: 3055 SPX resistance is: 3100. Support is: 3000 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $445.00MM from: $300.00MM 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% |