| Futures have pulled back to 3100, which grew quite a bit in “gamma size” overnight and coincides with a large jump in the SG Gamma Index. This is our largest positive gamma reading since Feb. Not only was that largest volume/high put call ratio prevalent in SPX yesterday, apparently equities had a putcall ratio of 0.4 which is the lowest in 5 years. If you look at the tilt chart you can get a good visual of how big this call activity was. This places us in an interesting position. Our data now suggests an implied range on the day of 0.6% which is a function of the positive gamma we measure. This infers stability in the market. However, these equity readings add some uncertainty. We’ve talked ad nauseam about speculation in stocks, and the hedging effects that come with large amounts of call buyers. This brings the potential for large volatility swings as either 1) the stocks move 2) those options expire. June OPEX (6/19) is again the obvious catalyst as the largest SPX positions are concentrated there. Going strictly off of our models there is no reason to anticipate a large selloff, but maybe some consolidation and grind higher. It seems pertinent to keep an eye on individual equities (particularly the momentum and speculative names). For today 3100 is obviously key with the SPX/SPY picking up a large level at 3104. Note that there was not much growth in “gamma size” at the 3125/3150 levels, something we would have liked to see to support a move higher. We would look for a tighter trading range today but note 3050 support and 3125 as first resistance should things start moving. |
| 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 |
| Unemployment Claims | 1820K | 2123K |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 3102 | 3117 |
| VIX Ref: | 26.18 | 25.66 |
| SG Gamma Index: | 1.10 | 0.42 |
| Gamma Notional: | $359.46MM | $541.80MM |
| SGI Imp. 1SD Move: | 0.6% | 3081 | 3118 |
| Zero Gamma Level: | 2987.0 | 3002.0 |
| Vol Trig: | 2995 | 2995 |
| High Gamma Strike Resistance: | 3130 | 3100 |
| Top Abs. Gamma Strike: | 3000 | 3000 |
| Put Wall Support: | 2800 | 2800 |
| Call Wall Strike: | 3130 | 3100 |
| CP Gam Tilt: | 1.27 | 1.45 |
| Delta Neutral Px: | 2891.0 | |
| Net Delta: | $15,727.00MM | $15,347.91MM |
| 25D Risk Reversal | -0.08 | -0.09 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [3200, 3150, 3130, 3125, 3100, 3050, 3000, 2950, 2900, 2800] The Call Wall has moved to: 3130 from: 3100 The High Gamma Strike has moved to: 3130 from: 3100 SPX resistance is: 3130. Support is: 3000 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $359.46MM from: $541.00MM 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% |