| Futures are flat after a fairly quiet overnight session. We still have positive gamma levels, but the Zero Gamma level has now jumped to 3115 from 3085. We still think 3100 holds the key to a major volatility expansion, but the Zero Gamma levels shifting up is a sign to us that positive gamma (i.e. calls) are being eroded or removed. Our equity indicators show that calls in single stocks were added into yesterdays weakness, but that doesnt appear to be the case for SPX.
This refreshed data still fits with our sentiment for the last several days: as long as we are above 3100 we see this market as simply consolidating but a break of 3100 infers a larger move lower (ie “dont buy the dip”). To the upside we still see a large resistance line at 3183 (Combo Strike) which rhymes with the top resistance from previous sessions. |
| 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 |
| Crude Oil Inventories | 10:30am | -3.2M | -7.2M |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ |
| Ref Price: | 3139 | 3137 | 313 | 10567 | 257 |
| VIX Ref: | 29.07 | 29.34 | |||
| SG Gamma Index: | 0.24 | 0.35 | -0.01 | 0.02 | -0.01 |
| Gamma Notional(MM): | $88.00 | $129.00 | $-159.00 | $3.00 | $-57.00 |
| SGI Imp. 1SD Move: | 1.2% | 3102 | 3176 | |||
| Zero Gamma Level(ES Px): | 3116.0 | 3083.0 | — | ||
| Vol Trigger™(ES Px): | 3125 | 3175 | 314 | 9790 | 255 |
| High Gamma Strike Resistance: | 3200 | 3200 | 320 | 10100 | 270 |
| Top Abs. Gamma Strike: | 3100 | 3100 | 310 | 10100 | 250 |
| Put Wall Support: | 2800 | 3170 | 300 | 8500 | 230 |
| Call Wall Strike: | 3200 | 3200 | 320 | 10100 | 270 |
| CP Gam Tilt: | 1.07 | 1.11 | 0.94 | 1.57 | 0.93 |
| Delta Neutral Px: | 3015.0 | ||||
| Net Delta(MM): | $11,074.00 | $10,979.00 | $1,696.00 | $255.00 | $496.00 |
| 25D Risk Reversal | -0.1 | -0.09 | -0.1 | -0.09 | -0.08 |
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3200, 3150, 3100] SPY: [320, 315, 310] QQQ: [260, 257, 250] NDX:[10400, 10100, 10025] SPX Combo: [3183.0, 3161.0, 3136.0] The Volatility Trigger has moved DOWN: 3125 from: 3175 The PutWall has moved to: 2800 from: 3170 SPX resistance is: 3200. Support is: 3100 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $87.51MM from: $129.00MM 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% |