| Futures took an initial shot lower to 3027 then immediately trended higher to 3085. You can see we have a concentration of levels around 3100 as that is currently the only area with material size (however its quite light). Our delta indicators have dropped quite a bit reflecting a loss of in the money interest and gamma levels are flat due to fairly even put/call ratios. Equity positions declined sharply indicating “gamma fuel” was drained which infers less movement in single names. This data all seems to line up with our expectations from last week. From an options perspective there really isnt much flow for the market to interact with in either direction as we await some sizeable positions to be established. The downside feels particularly exposed here as any addition in puts could shift gamma negative quite quickly, and that could push dealers to short futures. As a result we are cautious on any move under 3050, with 3100 the current “pivot” area and 3125 resistance. We think the action today could be pretty choppy, and we want to first see what trend emerges. Its important to note that while we are on the zero gamma area of 3090 the market is quite susceptible to short term options flows. As we have seen a lot recently “same day expiration” volume is often quite large relative to all expiration volume. Because we have such light options positions this same day flow could cause some “jumpy”/fakeout action which is why we suggest watiting for a larger break at 3050/3125 to confirm trend. |
| Market Outlook: |
| For July we see very light interest levels with 3000 being the highest strike. |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 3082 | 3094 |
| VIX Ref: | 34.57 | 32.91 |
| SG Gamma Index: | 0.23 | 0.24 |
| Gamma Notional: | $-93.00MM | $111.00MM |
| SGI Imp. 1SD Move: | 0.8% | 3061.0 | 3109.0 |
| Zero Gamma Level: | 3090.0 | 3040.0 |
| Vol Trig: | 3095 | 3055 |
| High Gamma Strike Resistance: | 3125 | 3200 |
| Top Abs. Gamma Strike: | 3100 | 3100 |
| Put Wall Support: | 3000 | 2800 |
| Call Wall Strike: | 3125 | 3200 |
| CP Gam Tilt: | 0.92 | 1.06 |
| Delta Neutral Px: | 2991.0 | |
| Net Delta: | $10,689.00MM | $17,014.00MM |
| 25D Risk Reversal | -0.12 | -0.11 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [3300, 3250, 3200, 3150, 3125, 3100, 3050, 3000, 2900, 2800] The Volatility Trigger has moved UP: 3095 from: 3055 The PutWall has moved to: 3000 from: 2800 The Call Wall has moved to: 3125 from: 3200 The High Gamma Strike has moved to: 3125 from: 3200 SPX is below the volatility trigger. The 3090.0 level is first level of resistance and is critical as its the negative gamma threshold. The trigger level of: 3095 will act as overhead resistance. Watching VIX is key, if volatility comes in dealers will start to buy back shares as their short puts lose value. This could start a rally. The total gamma has moved DOWN: $-92.64MM from: $110.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |