| Futures are currently flat to last nights close but did test 3230 again. Notably we saw a large jump in positive gamma yesterday which is related to that high 1.2 PC ratio yesterday (lots of calls traded relative to puts). You can see there was a huge jump in the Gamma Tilt index. That gives us some short term confidence that the market will hold into expiration tomorrow. If you notice on that chart it appears there can be some large spikes right before reversals in the SPX, too. Clearly things are shifting under the hood and I think this sets up for a larger move into next week.
For today we still hold 3200 as the key pivot area. As there is a lot of gamma there we think the market “revolves” around this strike. We note a large Combo bar at 3123(SPX) with the size shown yesterday at ~3240 now cut in half. There was a lot of interest added at the 3200 strike, and decay on out of the money options which is probably why we see that Combo area shift down. To the downside we note 3175 SPX as first stop with 3150 larger support. |
| Market Outlook: |
| 3150 3250 is the range into July Opex (Friday 7/17). |
| Event | Time EST | Actual | Forecast | Previous |
| Core Retail Sales m/m | 5.0% | 12.4% | ||
| Retail Sales m/m | 5.0% | 17.7% | ||
| Philly Fed Manufacturing Index | 20.0 | 27.5 | ||
| Unemployment Claims | 1250K | 1314K |
| Signal Name | Latest Data | Previous | SPY | NDX | QQQ |
| Ref Price: | 3199 | 3198 | 319 | 10547 | 260 |
| VIX Ref: | 28.76 | 27.84 | |||
| SG Gamma Index™: | 0.79 | 0.35 | 0.11 | 0.01 | -0.03 |
| Gamma Notional(MM): | $303.00 | $435.00 | $432.00 | $0.00 | $-228.00 |
| SGI Imp. 1SD Move: | 0.95% | 3170 | 3230 | |||
| SGI 5 Day | 3150 | 3.0% | ||||
| Zero Gamma Level(ES Px): | 3111.0 | 3129.0 | — | ||
| Vol Trigger™(ES Px): | 3145 | 3145 | 322 | 10070 | 263 |
| High Gamma Strike Resistance: | 3250 | 3250 | 323 | 3000 | 270 |
| Top Abs. Gamma Strike: | 3200 | 3200 | 310 | 10700 | 250 |
| Put Wall Support: | 2800 | 2800 | 310 | 8500 | 250 |
| Call Wall Strike: | 3250 | 3250 | 323 | 10100 | 270 |
| CP Gam Tilt: | 1.25 | 1.25 | 1.18 | 1.0 | 0.78 |
| Delta Neutral Px: | 3042.0 | ||||
| Net Delta(MM): | $12,046.00 | $12,045.00 | $1,826.00 | $299.00 | $608.00 |
| 25D Risk Reversal | -0.09 | -0.09 | -0.09 | -0.1 | -0.09 |
