Informe GT Gamma Levels

The picture for June OPEX in SPX still shows large call & put OI at 2900 and 2800, and we lack any impressive size at strikes above current SPX levels. If you recall yesterday we saw a concentration of levels at 3050 and today things have disperesed a bit. I think this reflects lack of sizeable options positions above, particularly as June OPEX decays. We’ve written before about this idea that (from a positioning perspective) the market can overrun where options are “pricing” it. For a bull run to maintain stability we like to see options rolled up and call positions (positive gamma) build overhead. The current data just seems to reflect fairly light interest above. Granted we are just a few days from OPEX where large positions can be rolled, but looking at todays data I couldn’t help but notice there isnt much happening in SPX calls. Maybe the lure of single stock calls is just too much to ignore.

For today we note the Fed is speaking at 10AM EST which may set the tone. We see support at 3080 (Combo level) with 3050 key on a larger break. To the upside we don’t see much resistance until 3150. On the equity side we actually saw a small reduction in open interest and gamma for both puts and calls. Total call positioning still remains close to the highs seen last week with the bulk of equities still showing 6/19 as the largest expiration.