| Futures are down testing the 3095 area after a relatively calm (but lower) overnight session. We could have an interesting setup at open which may have us start under the key 3100 level. This is our gamma flip line (3100 largest gamma strike, 3107 Combo Strike, Zero Gamma = 3101(ES), VT = 3105(ES)). The Put Wall also appears at 3050 which represents the first target on a move lower. 245 in Q’s appear to be the VT line which may be tested too. As usual we recommend watching the VIX as a directional cue: if we see a steady trend higher that indicates implied vols are building and put options are being bought. This is a clue that downside pressure is building. However if the VIX retreats we anticipate markets revert higher with resistance at 3132 (SPX Combo Strike). Because today is an expiration day it may be also worth monitoring the VIX9D (particularly for more active traders) as the relative volume of short term:long term options could be higher than non expiration days.
On the equity side we have been seeing call positions rebuild but they are still under record levels from last week. This indicates the negative gamma situation is back and supports larger directional moves despite index gamma levels being closer to zero. This also lends us to believe the retail complex is still active and reloading. This post from the NYSE in regards to retail flow is quite interesting, noting that retail trades are having quite an impact. |
| Market Outlook: |
| 3100 support for July with 3250 the overhead target. |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 3093 | 3122 |
| VIX Ref: | 32.99 | 31.67 |
| SG Gamma Index: | 0.17 | -0.03 |
| Gamma Notional: | $-118.00MM | $82.00MM |
| SGI Imp. 1SD Move: | 1.0% | 3062.0 | 3124.0 |
| Zero Gamma Level(ES Px): | 3101.0 | 3067.0 |
| Vol Trig(ES Px): | 3105 | 3115 |
| High Gamma Strike Resistance: | 3200 | 3200 |
| Top Abs. Gamma Strike: | 3100 | 3100 |
| Put Wall Support: | 3050 | 3100 |
| Call Wall Strike: | 3200 | 3200 |
| CP Gam Tilt: | 0.91 | 1.08 |
| Delta Neutral Px: | 3001.0 | |
| Net Delta: | $10,836.00MM | $10,798.00MM |
| 25D Risk Reversal | -0.11 | -0.12 |
| Model Forecast: |
| Top Absolute Gamma Strikes: [3300, 3250, 3200, 3150, 3125, 3100, 3050, 3000, 2900, 2800] The Volatility Trigger has moved DOWN: 3105 from: 3115 The PutWall has moved to: 3050 from: 3100 SPX is below the volatility trigger. The 3101.0 level is first level of resistance and is critical as its the negative gamma threshold. The trigger level of: 3105 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: $-118.17MM from: $81.00MM Gamma is tilted towards Puts, may indicate puts are expensive Negative gamma is moderate favoring further swings in the market |