| Note: |
| Futures are retesting highs and may again run at 3375. 3375 and 3400 both grew in gamma size overnight and are both pretty hefty levels. 3400 is only a sliver larger and so its listed as the high gamma strike. I bring this up because this can all be aggregated as overhead resistance in the sense that low volume surges higher may be pushed back similar to what we saw yesterday. The same works for selloffs – there should be lots of support that pushes things back in line. This is the high gamma “mean reversion” idea where we grind higher in the context of a tight trading range. Maybe I should rebrand it as the “3 Little Bears”…”Not too hot, not too cold”. Jokes aside we would like to see continued call volume in overhead strikes today to maintain the bullish scenario. The OI tool shows a large amount of 3350 puts added yesterday – and while we dont know if those puts were sold or bought to open I could make a case either way that it helps hedge the market. Were looking at 3375 as the center of a larger range of 3350-3400 into the main Feb OPEX next week. |
| Event | Time EST | Actual | Forecast | Previous |
| Fed Chair Powell Testifies | 10:00am | |||
| Crude Oil Inventories | 10:30am | 3.1M | 3.4M |
| Signal Name | Latest Data | Previous |
| SPX Ref: | 3370.0 | 3357.5 |
| VIX Ref: | 14.66 | 15.14 |
| Gamma Per Point: | $2,313,397,752.37 | $2,198,688,459.42 |
| Zero Gamma Level: | 3253.0 | 3241.0 |
| Vol Trig: | 3270.0 | 3270.0 |
| High Gamma Strike Resistance: | 3400.0 Size: 9/10 | 3400.0 |
| Top Abs. Gamma Strike: | 3350.0 | 3325.0 |
| Put Wall Support: | 3100.0 Size: 4/10 | 3100.0 |
| Call Wall Strike: | 3400.0 Size: 9/10 | 3400.0 |
| CP Gam Tilt: | 2.73 | 2.59 |
| Net Delta: | $10,758,205,918.00 | $10,139,659,718.00 |
| Model Forecast: |
| Intraday support/resistance levels (during high gamma periods): 3400.0, 3375.0, 3350.0, 3360.0, 3450.0
SPX resistance is: 3400.0. Support is: 3350.0 .Reference ‘Intraday Support’ levels for support areas. |