| Futures recover the 3200 level after spending the overnight session in a 15 handle range. Our levels are little changed overnight with 3200 being the key pivot area for today. The High Gamma Strike remains at 3250 and we also see a large Combo strike bars at 3216 & 3241 which we mark as resistance today. To the downside we see a Combo bar at 3190 and then broad support around 3150.
Going into Friday we see that many big single stock names are fairly close to their “High Gamma Strikes” with a lot of open interest set to expire. This would imply that they have a bit more upside but may need strong inflows for a larger rally. In the SPX 3200 is a huge level now as “gamma” is very sensitive to price due to expiration being so near. We therefore think that similar to single stocks there has to be some pretty strong flows to push SPX. To start the day it seems that implied volatility (ie. VIX) is set to be crushed with is a tailwind for stocks. |
| Market Outlook: |
| 3150 3250 is the range into July Opex (Friday 7/17). |
| Event | Time EST | Actual | Forecast | Previous |
| Industrial Production m/m | 9:15am | 4.5% | 1.4% | |
| Crude Oil Inventories | 10:30am | -1.3M | 5.7M |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ |
| Ref Price: | 3202 | 3185 | 320 | 10686 | 261 |
| VIX Ref: | 29.05 | 29.46 | |||
| SG Gamma Index™: | 0.35 | 0.33 | 0.04 | 0.01 | -0.03 |
| Gamma Notional(MM): | $343.00 | $234.00 | $710.00 | $2.00 | $-353.00 |
| SGI Imp. 1SD Move: | 1.25% | 3166| 3246.0 | |||
| SGI 5 Day | 3150 | 3.0% | ||||
| Zero Gamma Level(ES Px): | 3115.0 | 3129.0 | — | ||
| Vol Trigger™(ES Px): | 3145 | 3155 | 316 | 10070 | 263 |
| High Gamma Strike Resistance: | 3250 | 3300 | 325 | 10100 | 270 |
| Top Abs. Gamma Strike: | 3150 | 3150 | 310 | 10000 | 250 |
| Put Wall Support: | 2800 | 2900 | 310 | 10000 | 250 |
| Call Wall Strike: | 3250 | 3300 | 325 | 10100 | 270 |
| CP Gam Tilt: | 1.29 | 1.2 | 1.3 | 1.29 | 0.67 |
| Delta Neutral Px: | 3045.0 | ||||
| Net Delta(MM): | $11,849.00 | $11,672.00 | $1,815.00 | $293.00 | $593.00 |
| 25D Risk Reversal | -0.11 | -0.11 | -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:[10400, 10100, 10000] SPX Combo: [3241.0, 3216.0, 3244.0] NDX Combo: [10515.0, 10718.0, 10847.0] The Volatility Trigger has moved DOWN: 3145 from: 3155 The PutWall has moved to: 2800 from: 2900 The Call Wall has moved to: 3250 from: 3300 The High Gamma Strike has moved to: 3250 from: 3300 SPX resistance is: 3250. Support is: 3150 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved has moved UP: $342.00MM from: $234.00MM 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% |