Futures are up to 4160. This places the 4150 SPX Call Wall above as first resistance, with resistance above there at the 420/4200 SPY Call Wall. Support below shows at 4125, then 4100. In line with last nights note, this is now the 5th session in a row wherein the SPY Call Wall has shifted higher. From a baseline we consider SG levels shifting higher as bullish as hedging flows should shift higher in kind.
One of the features of high positive gamma environments in lower realized volatility, which serves to drag implied volatility down. As this happens, interest builds at nearby strikes which creates stickier prices. The tight trading ranges associated with these environments generally favor mean-reverting trades as price churns inside large gamma bars. What we see when we look at options prices is this general expectation.
The plot below calculates the implied probability of the SPX closing at various prices, and is derived from SPX options prices. As you can see, the peak of these probabilities are around 4125, but the other thing to note is the distribution is fairly uniform over the next several expirations. This suggests there is not a strong catalyst for price change from some type of event. If there was an event (ex: FOMC) then there would be a stark shift to a flatter (platykurtic) probability (see this image from 3/21 as an example).
