Futures have popped back up to the 4400 area. 4400 is still the major gamma strike on the board, with a max implied move of 1.2% on the day. We see resistance at 4435 and 4450, with support at 4375. With this higher implied volatility markets could start to possibly wrestle free from the 4400 area. As noted last night, this higher implied volatility could fuel a push higher as volatility sellers emerge to ratchet markets higher.
The Call Wall has consolidated to the 4450 strike which is now the top end of our range on a larger time frame. There remains a high amount of gamma at strikes below, which reiterates our view that the downside remains somewhat capped. We would likely have to first stage at lower prices to setup a larger “tail” type decline.
This can be seen in the EquityHub distribution of gamma below. The inflection point at 4330 below which we still hold as a downside inflection point. That would be the target for our first “stage” on a move lower.
4450 top of the range, 4330 critical support for August OPEX.