Informe SG Levels

Futures held tight to 4205 overnight. The Call Wall has shifted higher to 4250, which was key for our model in anticipating higher prices. 4200 stands out as a very large gamma strike and if markets hold that level we anticipate a low volatility market that grinds higher. 425/4250 is the major overhead target and positive gamma builds with higher prices.  Larger positive gamma implies that volatility should reduce if markets push up.

Many of you are most familiar with the vanna model which is “right skewed” which comes off of large market drops with high volatility. Below on the right we have yesterdays model which shows resistance into 4200. However, we currently have a “left skew” (right chart) which comes if/when markets push higher into the large call interest area of 4250.

To the downside we mark 4175 as key support. From current levels we think it would take several sessions for positive gamma to deteriorate enough to accommodate high volatility.

Model Overview:

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