| Futures locked limit down for most of the early morning as we test 2800. A quick note from Aug 2015 when the market opened limit down. To calculate the S&P500 index price all S&P500 component stocks need to open – and that is generally delayed during locked limit openings. Because that price can’t be calculated futures don’t have a level to be “tied” to and that can cause many functional problems at the open. We do not have many large options levels below the anticipated SPX open level, with 2900 holding the largest gamma and may come into play on any rally. Looking at the OPEX for March monthlies (3/20) there are a lot of very chunky puts. This is indicating that while the market is looking for a major dive here, there is again fuel for major short covering rallies. A reminder though that these rallies may simply be in the context of major downtrends and could create air pockets similar to what weve seen recently. These sharp moves higher and lower are of course what we have been seeing – the difference now is that we have to manage through possible exchange halts and a general struggle to price risk assets. This would particularly pertain to the options markets as traders struggle to find an indicative underlying price to quote options, and leads to very wide bid/ask spreads. One additional concern is that because markets have been locked limit those that need to hedge (particularly from the rally on Fridays close) is that they have may not been able to and may create an additional dynamic at the open. |
| Event | Time EST | Actual | Forecast | Previous |
| No events | – | – | – | – |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 2819.0 | 2972.25 |
| VIX Ref: | 14 | 44.05 |
| Gamma Per Point: | $-2,104,403,906.97 | $-1,771,497,884.60 |
| Zero Gamma Level: | 3141.0 | 3194.0 |
| Vol Trig: | 3129.0 | 3145.0 |
| High Gamma Strike Resistance: | 3150.0 Size: 0/10 | 3150.0 |
| Top Abs. Gamma Strike: | 2800.0 | 3000.0 |
| Put Wall Support: | 2800.0 Size: 1/10 | 3000.0 |
| Call Wall Strike: | 2945.0 Size: 0/10 | 3085.0 |
| CP Gam Tilt: | 0.2 | 0.45 |
| Net Delta: | $-13,437,539,492.00 | $-7,853,483,136.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 3150.0, 3300.0, 3400.0, 3250.0, 3350.0
The Volatility Trigger has moved DOWN: 3129.0 from: 3145.0 |