| Futures have bounced a bit to the 3160 area. 3150 now shows as the pivot as its the largest gamma line (most calls & puts) but also the Vol Trigger area (3155 ES). Interestingly the High Gamma Strike rolled up to 3250 which appears to be due to ~15k calls added at that strike yesterday. We also dont get the impression that much hedging was done in the SPX yesterday either, which is a bit surprising given the velocity of the selloff. It is clear though that puts are becoming more expensive relative to calls as indicated by our Risk Reversal chart. We like to watch this indicator when the market is at highs (lows) to see if call(put) prices are at extreme levels. The closer to 0 the line is, the higher call prices are relative to puts. In a way you could view this as a measure of fear/greed. For example if the market were to rally now back to highs and this Risk Reversal chart showed -0.12 that could be a bullish sign because call prices arent as extreme to puts. However if we rally and see a price that was -0.08 (like a few days ago) that could indicate traders are paying up too much for calls.
For today we mark 3150 as the key downside level, with a break there bringing 3100 as next support. To the upside we see resistance at the large Combo levels of 3165(SPX) and 3191. Into this Fridays expiration this shift of the High Gamma Strike does open us to a larger rally to 3250, with 3100 still the bottom of the range. |
| 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 |
| CPI m/m | 8:30am | 0.5% | -0.1% | |
| Core CPI m/m | 0.1% | -0.1% |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ |
| Ref Price: | 3162 | 3150 | 315 | 10626 | 266 |
| VIX Ref: | 30.89 | 32.19 | |||
| SG Gamma Index™: | 0.32 | 0.37 | 0.03 | 0.02 | -0.03 |
| Gamma Notional(MM): | $116.00 | $135.00 | $8.00 | $3.00 | $-44.00 |
| SGI Imp. 1SD Move: | 0.85% | 3134.0 | 3186.0 | |||
| SGI 5 Day | — | ||||
| Zero Gamma Level(ES Px): | 3106.0 | 3095.0 | — | ||
| Vol Trigger™(ES Px): | 3155 | 3185 | 314 | 9790 | 263 |
| High Gamma Strike Resistance: | 3250 | 3200 | 325 | 10100 | 270 |
| Top Abs. Gamma Strike: | 3150 | 3200 | 310 | 10100 | 250 |
| Put Wall Support: | 2900 | 3180 | 300 | 8500 | 250 |
| Call Wall Strike: | 3300 | 3200 | 325 | 11325 | 270 |
| CP Gam Tilt: | 1.09 | 1.11 | 1.0 | 1.57 | 0.94 |
| Delta Neutral Px: | 3037.0 | ||||
| Net Delta(MM): | $11,586.00 | $11,245.00 | $1,775.00 | $286.00 | $610.00 |
| 25D Risk Reversal | -0.11 | -0.1 | -0.11 | -0.1 | -0.1 |
| Model Forecast: |
| Top Absolute Gamma Strikes: SPX: [3200, 3150, 3100] SPY: [320, 315, 310] QQQ: [260, 255, 250] NDX:[11350, 11325, 10100] SPX Combo: [3191.0, 3216.0, 3165.0] The Volatility Trigger has moved DOWN: 3155 from: 3185 The PutWall has moved to: 2900 from: 3180 The Call Wall has moved to: 3300 from: 3200 The High Gamma Strike has moved to: 3250 from: 3200 SPX resistance is: 3250. Support is: 3150 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $116.08MM from: $135.00MM 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% |