Informe SG Levels

Little change in futures overnight. Today we look for a bit more movement in markets, but still quiet with a maximum move of 37 handles. 4200-4250 is the main range still in play. Current data estimates we shed 10% of gamma for tonights expiration, so that may be enough to get some movement into the end of this week.

The options flow generally seems to be locking in this area as we approach the large 6/18 expiration. As you can see below the largest call & put open interest changes (from a gamma perspective) were at the 4225 strike – essentially a straddle.

With these quiet market, realized volatility is back to lows and that should continue to keep pressure on implied volatility (ie VIX).  Implied volatility declining and time decay should lead dealers to buy back short futures, which should support markets (vanna & charm).  That is this weeks story, and we look for the dynamic to change next week due to quad-witching OPEX.

Model Overview:

While markets hold 4200 we look for a low volatility grind higher, with 4250 the overhead target. 4190 is the gamma flip line, and therefore critical support.