Informe SG Levels

Futures are flat, holding the 4250 area. Today we forecast another tight trading range, with an SG Implied max move of only 31 pts (0.7%). The Call Wall has shifted up to 4275 which is now our overhead resistance line. 4225 is first support.

Currently the two dominant strikes are 4225 in the SPX and 425 in the SPY. This equates to a fairly heavy band of gamma from 4250-4275 in the S&P500. This range likely stays in play until 6/18.

Along with that, we see 4200 as our critical support line. Beneath that level its likely that gamma flips negative which can cause a large spike in volatility. As long as the S&P holds that 4200 line, then we look for fairly low volatility & benign movement.

Because of the large amount of gamma expiring Friday we look for expanding volatility heading into next week. We think its a decent time to look at downside protection as puts seems cheap based on implied volatility levels and our Risk Reversal(RR) metric. The current RR reading of 0.05 is near 1 year highs, which infers that puts prices are near lows relative to calls.

Model Overview:

While markets hold 4200 we look for a low volatility grind higher, with 4250 the overhead target. 4160 is the gamma flip line, and therefore critical support.