| Futures are flat to last nights close with a fairly tight overnight range. Our levels have all consolidated around 3050, with another large move (~2%) implied by todays SG Index. You can see that these notional gamma measures are more negative today despite a higher market. As mentioned last night this is due to the heavier put volume. 3050 is obviously the key pivot today and 3000 appears to be todays support level. 3059 (Combo strike) shows as resistance with 3100 on a larger run.
Today we do have month/quarter end and expect some various macro flows associated with that. There is an options expiraiton with decent size today, too. You can see the projected gamma and delta impacts show we will remove some gamma from the equation, particularly to the downside. We’ve been fairly tethered to this 3050 level for about 5 days now and think today may start shaking us free and give us some larger directional cues. Until the market shows its hand we remain on watch for a volatile move lower. That being said its hard to read the recent moves as anything more than consolidation at this point, and are still watching for a break of 3100 as an “all clear” level. |
| Market Outlook: |
| July has 3000 support and 3200 the top of the range. Positions are still light, and we wait for a range to develop. |
| Event | Time EST | Actual | Forecast | Previous |
| Chicago PMI |