Informe SG Levels

Futures are down over 1% to 4300, but up off of the lows of 4280. This indicates the cash index is set to open just  over the critical 4300 line. This means that gamma levels will start near zero, which implies a larger 1% max move for today. Under 4300 is where the gamma flip line rests, and so we look for a spike in volatility if that level is broken. To the upside 4330 remains major resistance.

Bottom line: markets hold a bullish stance over 4300 but risk is “off” under 4300.

We do not think today manifests into a major drawdown and would look for some support near 4270 if the S&P breaks 4300. Its under 4250 where a “void” exists and we’d have large concerns for markets with the next support showing near 4150.

In terms of “why” markets are weak today, there are no major indications, but the selling seems to coincide with drops in the 10 year yield in China. The primary reason we note this is that if credit markets start shaking then equities will likely respond in kind.

Model Overview:

4300 support, resistance at the 435SPY,4350Call Wall