| Futures are testing 3200 after a fairly quiet session. The data from Friday shows that many calls were close <=3190 in SPX and rolled out however our “High Gamma Strike” did not shift up. As we mentioned on Friday we look for the market to test this 3200 level, and for it to then roll higher to confirm a bullish move. It certainly looks like the SPX will open at or above this 3200 strike and we consider it the pivot for today. The large “Combo Strikes” show up at 3201 and 3210 further showing this area as resistance (second chart down). The Vol Trigger and Put Wall line up around 3185 area so we have a fairly tight range to start the day. If we breach the Vol Trigger area a test of 3150 seems reasonable with 3236 the top on a larger rally. This setup is quite interesting as I would read our SPX data as “pause” but I would note the QQQ High Gamma level is at 270 with and little evidence that single stock buyers want to take a rest (TSLA for example ~+5% premarket).
We have the Monthly July contracts expire on Friday with 3250 being the highest level of interest at strikes overhead and we mark that as the top end of range. The majority of open interest still resides down at 3100 & 3150. Any puts down below will be decaying quickly which will help the bull case. |
| 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 |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ |
| Ref Price: | 3191 | 3192 | 318 | 10886 | 257 |
| VIX Ref: | 27.83 | 27.36 | |||
| SG Gamma Index™: | 0.38 | 0.38 | 0.03 | 0.03 | -0.03 |
| Gamma Notional(MM): | $374.00 | $379.00 | $646.00 | $6.00 | $-219.00 |
| SGI Imp. 1SD Move: | 1.43% | 3145.0 | 3237.0 | |||
| SGI 5 Day | — | ||||
| Zero Gamma Level(ES Px): | 3104.0 | 3120.0 | — | ||
| Vol Trigger™(ES Px): | 3185 | 3185 | 317 | 9790 | 263 |
| High Gamma Strike Resistance: | 3200 | 3200 | 320 | 10100 | 270 |
| Top Abs. Gamma Strike: | 3200 | 3200 | 310 | 11350 | 262 |
| Put Wall Support: | 3180 | 3180 | 300 | 8500 | 262 |
| Call Wall Strike: | 3200 | 3200 | 320 | 11350 | 270 |
| CP Gam Tilt: | 1.34 | 1.35 | 1.28 | 2.37 | 0.75 |
| Delta Neutral Px: | 3035.0 | ||||
| Net Delta(MM): | $11,392.00 | $11,396.00 | $1,746.00 | $287.00 | $532.00 |
| 25D Risk Reversal | -0.1 | -0.1 | -0.1 | -0.1 | -0.09 |
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3200, 3150, 3100] SPY: [320, 315, 310] QQQ: [262, 260, 250] NDX:[11350, 11325, 10100] SPX Combo: [3210.0, 3201.0, 3236.0] SPX resistance is: 3200 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $374.00MM from: $379.00MM 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% |