Informe SG Levels

Futures have popped higher to 4170 in the overnight session. Gamma reads slightly positive in the SPX, but negative in the SPY and QQQ. Resistance still shows at the 420/4200 (SPY/SPX) area, with initial support at 415/4150. The S&P maintains small positive gamma above that 4150 line and, and while its above that level we look for fairly low volatility.  We see the upside volatility as capped by 4200, with more room for volatility to the downside.

In order for a breakout to manifest, we think that markets must hold that 4150 line and the Call Wall has to roll up to a higher strike from 4200. A break of 4150 likely leads to a quick test of the 4050.

This view is best shown by our EquityHub model, wherein you can see distinct changes in gamma at 4205 and 4055. This implies that dealer hedging changes sharply at these levels, which corresponds with where support and resistance has been seen over the past several weeks (see second chart below).

NOTICE:

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Model Overview:

New June OPEX range starts forming next week. We look for high volatility into June 1.