| A wild morning in futures has us swinging from 3150->3100->3150. 3100 has formed as a large spot for both call and put positions, with lots of puts at 3150. This level *might* prove to be a decent spot for a market low, at least in the short term. Again we reiterate that regardless of your bear/bull view of this market we can just as easily rally 2-3% as drop 2-3%. Additionally we have month end flows coming into the mix, and they may be larger than normal considering all that has been happening. If you recall back to the Nov/Dec 2018 period we had relentless selling, followed by big rallies, then more selling. We’re stuck in a feedback loop and we dont see it “breaking” until we clear out this negative gamma inventory. We see some decent size expiring tomorrow with month end, but also looking at next week due to Super Tuesday there are hedges in place. Therefore it may be into next week before we get some lower volatility. |
| Event | Time EST | Actual | Forecast | Previous |
| New Home Sales | 10:00am | 714K | 694K | |
| Crude Oil Inventories | 10:30am | 2.3M | 0.4M |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 3128.25 | 3138.5 |
| VIX Ref: | 27.03 | 27.85 |
| Gamma Per Point: | $-1,834,415,187.88 | $-1,812,666,240.08 |
| Zero Gamma Level: | 3175.0 | 3185.0 |
| Vol Trig: | 3295.0 | 3295.0 |
| High Gamma Strike Resistance: | 3400.0 Size: 422/10 | 3400.0 |
| Top Abs. Gamma Strike: | 3100.0 | 3150.0 |
| Put Wall Support: | 3100.0 Size: 6/10 | 3150.0 |
| Call Wall Strike: | 3056.0 Size: 959/10 | 3285.0 |
| CP Gam Tilt: | 0.4 | 0.4 |
| Net Delta: | $-3,572,177,007.00 | $-3,187,210,464.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 3400.0, 3450.0, 3500.0, 3300.0, 3375.0
The PutWall has moved to: 3100.0 from: 3150.0 |