| Markets pulling back from early overnight highs of 3395 to test key 3375 support area. Total gamma has dropped some, but remains high. 3350 is our key level on a larger decline, with 3400 still large resistance. There was little to no indication of rolling in the OI Change charts and we think that should start today. This may add some dealer futures buying, possibly later in the day. With gamma levels still high and the market resting at a key strike (3375) we don’t anticipate large volatility today but would note that OPEX could bring a fairly large change total gamma. This could point to some larger volatility into next week. |
| EVENT | TIME EST | ACTUAL | FORECAST | PREVIOUS |
|---|---|---|---|---|
| Philly Fed Manufacturing Index | 36.7 | 10.1 | 17.0 | |
| Crude Oil Inventories | 11:00am | 3.3M | 7.5M |
| SIGNAL NAME | LATEST DATA | PREVIOUS |
|---|---|---|
| SPX Ref: | 3381.25 | 3387.5 |
| VIX Ref: | 14.9 | 14.38 |
| Gamma Per Point: | $1,719,230,523.34 | $2,346,763,979.31 |
| Zero Gamma Level: | 3280.0 | 3270.0 |
| Vol Trig: | 3295.0 | 3280.0 |
| High Gamma Strike Resistance: | 3400.0 Size: 9/10 | 3400.0 |
| Top Abs. Gamma Strike: | 3375.0 | 3375.0 |
| Put Wall Support: | 3100.0 Size: 4/10 | 3100.0 |
| Call Wall Strike: | 3400.0 Size: 9/10 | 3400.0 |
| CP Gam Tilt: | 2.13 | 2.61 |
| Net Delta: | $9,381,788,173.00 | $11,398,646,612.00 |
| MODEL FORECAST: |
|---|
| Intraday support/resistance levels (during high gamma periods): 3400.0, 3450.0, 3425.0, 3500.0, 3410.0The Volatility Trigger has moved UP: 3295.0 from: 3280.0 SPX resistance is: 3400.0. Support is: 3375.0 .Reference ‘Intraday Support’ levels for support areas. The total gamma has moved DOWN: $1,719,230,523.34 from: $2,346,763,979.31 Gamma is tilted towards Calls, maybe indicating calls are expensive Positive gamma is high. Markets tend to have little movement (Average High/Low Range of SPX PX = 0.50%) and markets tend to be mean reverting |