| Quite an overnight range in futures (~3260-3225) has us still holding close to the key 3250 area with VIX still near highs. Our overhead resistance areas moved a bit lower to 3275/3285 (around where gamma flips positive). Several interesting notes, we felt (anecdotally) that yesterday didn’t seem like true “fear” in the markets with various pundits suggesting to “buy the dip” and if you look at the OI tool you can see that put OI in SPY (retail) closed a great deal compared to SPX (institutional). The put wall also didnt move from 3250 which indicates to me large players are still hedged. While gamma is negative, it can certainly get more negative and the fuel tanks are still primed and ready for more large movements. |
| Event | Time EST | Actual | Forecast | Previous |
| CB Consumer Confidence | 10:00am | 132.6 | 131.6 | |
| Richmond Manufacturing Index | 10 | 20 |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 3242.75 | 3251.0 |
| VIX Ref: | 23.07 | 23.38 |
| Gamma Per Point: | $-812,690,599.77 | $-911,300,437.44 |
| Zero Gamma Level: | 3275.0 | 3283.0 |
| Vol Trig: | 3285.0 | 3310.0 |
| High Gamma Strike Resistance: | 3400.0 Size: 1/10 | 3400.0 |
| Top Abs. Gamma Strike: | 3250.0 | 3250.0 |
| Put Wall Support: | 3250.0 Size: 3/10 | 3250.0 |
| Call Wall Strike: | 3400.0 Size: 1/10 | 3400.0 |
| CP Gam Tilt: | 0.74 | 0.72 |
| Net Delta: | $1,861,779,200.00 | $2,066,784,911.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 3400.0, 3450.0, 3500.0, 3330.0, 3375.0
The Volatility Trigger has moved DOWN: 3285.0 from: 3310.0 |