| The Coronavirus has futures testing the 3350 support level. This is the bottom of our anticipated range going into Februarys main OPEX (next Friday), and a break of 3350 may mean an fairly quick retest of 3325. When markets lose that $1bn gamma level is when we start to get concerns of a larger drawdown. I would be watching the 3325 as my “$1bn gamma” level. Our negative gamma flip points are now just under 3300. Should people start hedging by buying puts, that actually creates short term selling pressure on the markets (dealers are short puts & hedge by selling futures). If you recall the last several Fridays we’ve seen a bit of this hedging behavior. Purely looking at the data in front of us the edge goes to a market bounce here, with 3375 resistance. |
| Event | Time EST | Actual | Forecast | Previous |
| CPI m/m | 8:30am | 0.2% | 0.2% | |
| Core CPI m/m | 0.2% | 0.1% |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 3355.5 | 3379.25 |
| VIX Ref: | 15.09 | 13.75 |
| Gamma Per Point: | $1,896,549,094.97 | $2,397,924,777.40 |
| Zero Gamma Level: | 3255.0 | 3262.0 |
| Vol Trig: | 3285.0 | 3270.0 |
| High Gamma Strike Resistance: | 3400.0 Size: 8/10 | 3400.0 |
| Top Abs. Gamma Strike: | 3350.0 | 3350.0 |
| Put Wall Support: | 3100.0 Size: 4/10 | 3100.0 |
| Call Wall Strike: | 3400.0 Size: 8/10 | 3400.0 |
| CP Gam Tilt: | 2.14 | 3.02 |
| Net Delta: | $9,659,864,641.00 | $11,227,311,565.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 3400.0, 3375.0, 3350.0, 3450.0, 3360.0
The Volatility Trigger has moved UP: 3285.0 from: 3270.0 |
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