Informe SG Levels

Futures are flat to 4270. Today looks like another fairly quiet session with an SG max implied move of 32 pts. The Call Wall has now shifted to 4300 which is our new target high. Key support is at 4250.
At the moment we see small options positions ahead of the 7/16 July Monthly expiration, and so there is little catalyst to change the current market dynamic. With that we look for a slow grind higher, with implied volatlity (ie VIX) continuing to contract. The gamma flip points continue to slide up, which is what we like to see as a signal that the options market is accepting these new, higher SPX prices.

Our total S&P500 gamma profile below shows just how large this 4300 area has become. You can also see that under 4265 the positive gamma deteriorates, and then under 4250 it turns negative. There are times that we flag “risk potential”, but this is just not one of them.

Lastly we draw attention to the vanna models, with show increased resistance on a move to 4300. Recall this resistance should be thought of as “getting stuck in the mud” as opposed to “major rejection”.

Model Overview:

4300 top, 4000 support into July OPEX.