| Futures rallied overnight to 3170. I’d note Shanghai is up ~6% today. The SG Index & Notional gamma levels shifted higher which should help support markets – higher positive gamma infers dealers will “buy dips” as we see 3200 in reach. 3200 lines up as the Top Gamma strike as well as the max SG implied move today (SG Index Imp. Move info here). To the downside we note 3130 as important support – which curiously also lines up with the max SG implied downside move. This sets up a fairly well defined target range today (3130-3200). It does seem that as of late there is what appears to be a mechanical call roll taking place. We are typically seeing calls at or in the money being closed and calls above being added. In our view this helps to draw the market higher as larger delta calls are exchanged for smaller delta calls. If you assume dealers are long calls vs short stock, this exchange would mean dealers need to buy back some short delta (futures) positions. To reinforce our view for higher markets we like to see the SPX approach that High Gamma strike (3200) and then see that strike roll higher. If we approach or tag this 3200 strike and the High Gamma Strike does not roll higher we typically read that as a warning signal. To the downside 3130 is support for today with 3100 being the key to a larger volatility spike. As we noted the past several days if the market stays above that 3100 area we are more comfortable being long and/or buying dips. |
| Market Outlook: |
| July positions remain very light with 3100 the largest strike. We mark 3000 to the downside and a weaker upside target at 3200. |
| Event | Time EST | Actual | Forecast | Previous |
| ISM Non-Manufacturing PMI | 10:00am | 50.0 | 45.4 |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ |
| Ref Price: | 3168 | 3120 | 316 | 10486 | 252 |
| VIX Ref: | 27.62 | 27.98 | |||
| SG Gamma Index: | 0.21 | 0.38 | -0.02 | 0.02 | 0.00 |
| Gamma Notional(MM): | $336.00 | $162.00 | $553.00 | $3.00 | $23.00 |
| SGI Imp. 1SD Move: | 1.15% | 3133.0 | 3206.0 | |||
| Zero Gamma Level(ES Px): | 3082.0 | 3065.0 | — | ||
| Vol Trigger™(ES Px): | 3130 | 3115 | 312 | 9750 | 252 |
| High Gamma Strike Resistance: | 3200 | 3200 | 312 | 9750 | 252 |
| Top Abs. Gamma Strike: | 3100 | 3100 | 310 | 10100 | 252 |
| Put Wall Support: | 3130 | 2800 | 300 | 8500 | 252 |
| Call Wall Strike: | 3200 | 3200 | 315 | 10100 | 253 |
| CP Gam Tilt: | 1.32 | 1.14 | 1.26 | 1.68 | 1.04 |
| Delta Neutral Px: | 3013.0 | ||||
| Net Delta(MM): | $10,950.00 | $10,753.00 | $1,672.00 | $237.00 | $436.00 |
| 25D Risk Reversal | -0.09 | -0.09 | -0.1 | -0.09 | -0.09 |
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3300, 3250, 3200, 3150, 3130, 3125, 3100, 3050, 3000, 2900] SPY: [320, 315, 314, 313, 312, 311, 310, 305, 300, 290] QQQ: [255, 254, 253, 252, 250, 247, 245, 242, 240, 235] NDX:[10500, 10400, 10200, 10100, 10025, 10000, 9900, 9500, 9000, 8500] The Volatility Trigger has moved UP: 3130 from: 3115 The PutWall has moved to: 3130 from: 2800 SPX resistance is: 3200. Support is: 3100 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $335.00MM from: $161.00MM Gamma is tilted towards Puts, may indicate puts are expensive Positive gamma is moderate which should lead to smaller market moves. Average Range on day is 1.5% |
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