| Markets tested 3220 overnight and are now back to 3200 as we wait for the Fed later today. The SG Index and notional gamma levels both move a bit lower, and we see that Zero Gamma level up towards 3075. If we continue to lose positive gamma the ZeroGamma/Vol Trigger levels should continue to pull higher. There was a decent amount of volume in the 3100 puts yesterday and that area would be the obvious target on a larger break lower. Note that if we move lower, IV/VIX will spike adding more value to puts and possibly spurring further short hedges. As noted many times, all that the negative gamma in equities which has helped spur this rally can also fuel a reversal. In a similar fashion the fuel remains for a continued rally, too. There appears to be too much energy for a simple consolidation – just look at stocks like DUO,CHK,NKLA. There is a lot going on not reflexted in the SPX Index and its volatility estimates. To that point we changed the scatter colors on the SGI Daily Chart to highlight the last several weeks. If we had record call positions in the SPX we should have seen many data points >1 – that would indicate the SPX is more in sync with equities. For today 3200 is obviously the largest strike on the board with resistance at 3225 and support 3185. |
| Market Outlook: |
| 3100 support and 3200 resistance now for June OPEX. Below 3100 there is size at 3000. |
| Event | Time EST | Actual | Forecast | Previous |
| CPI m/m | 8:30am | 0.0% | -0.8% | |
| Core CPI m/m | 0.0% | -0.4% | ||
| FOMC Economic Projections | 2:00pm | |||
| FOMC Statement | ||||
| Federal Funds Rate | <0.25% | <0.25% | ||
| FOMC Press Conference | 2:30pm |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 3195 | 3207 |
| VIX Ref: | 27.68 | 27.42 |
| SG Gamma Index: | 0.71 | 0.77 |
| Gamma Notional: | $382.33MM | $478.77MM |
| SGI Imp. 1SD Move: | 0.86% | 3166 | 3224 |
| Zero Gamma Level: | 3077.0 | 3027.0 |
| Vol Trig: | 3055 | 3025 |
| High Gamma Strike Resistance: | 3300 | 3300 |
| Top Abs. Gamma Strike: | 3200 | 3200 |
| Put Wall Support: | 2800 | 2800 |
| Call Wall Strike: | 3300 | 3300 |
| CP Gam Tilt: | 1.29 | 1.41 |
| Delta Neutral Px: | 2919.0 | |
| Net Delta: | $17,084.97MM | $16,940.16MM |
| 25D Risk Reversal | -0.08 | -0.07 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [3350, 3300, 3250, 3200, 3175, 3150, 3100, 3050, 3000, 2900] The Volatility Trigger has moved UP: 3055 from: 3025 SPX resistance is: 3200 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $382.33MM from: $478.00MM 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% |