Informe SG Levels

Futures are off -8 to 4420. Once again we start with a low volatility expectation based on the 75bps SG Implied move. 4400 SPX  & 440 SPY (= 4415 SPX) is the largest gamma area on the board and main support. Resistance is at 4425 and 4439.

The Call Wall remains well overhead at 4500, which is still our upside target into August 20th expiration. If the market does push higher we think it will be a slow grind. The vanna model is picking up the same increase in dealer long deltas from Friday, which suggests building resistance on any move into 4450 (as dealers must sell increasing amounts of futures with higher SPX prices).

To the downside gamma officially flips to the negative on a break of 4400. Because 4400 is such a large gamma area, we think “mean reversion” back into that level is to be favored unless SPX breaks 4382. Should the market fall through that line then we see a quick visit to 4350. 4330 still stands out as a large inflection/support point on a longer time frame.

Model Overview:

4500 resistance 4400 key support into Aug exp