Informe SG Levels

Futures are flat to last nights close of 4218.  Gamma is flat, with an implied maximum move of 1.15% today.  While our gamma flip levels compute as 4220, we hold 4200 as the critical risk level. Below that strike negative gamma ticks higher and downside risk increases. 4254 is the first overhead resistance.

After a spurt of volatility markets are essentially where they were a week ago, the difference here is that that total options position in much lower (ie gamma reduced). This infers less resistance in markets regardless of direction. The key here is that we are now back to light resistance on upside moves, rather than support or buying on upside moves as modeled yesterday.

Bottom line: as long as implied volatility (ie VIX) continues to decline then we look for markets to test new highs >=4250. This would coincide with positive gamma building, which further reduces volatility and keeps a bid to markets. As noted above, a break of 4200 is “risk off”.

Model Overview:

4300 top, 4000 support into July OPEX.