Daily Note: Sellers took early control, pushing the SPX down to 4373 before rebounding sharply back to 4400. Our major downside levels showed at 4378/4375 and its interesting that our HIRO real time options indicator picked up a distinct change in flow when the market hit that level. As you can see below the options […]
Daily Note
SpotGamma Report for: 07/27/2021 PM
Daily Note: Sellers took early control, pushing the SPX down to 4373 before rebounding sharply back to 4400. Our major downside levels showed at 4378/4375 and its interesting that our HIRO real time options indicator picked up a distinct change in flow when the market hit that level (red line, below). As you can see […]
SpotGamma Report for: 07/27/2021 AM
Daily Note: Futures have pulled back to 4403 after putting in a low of 4390. 4400 remains the Call Wall, with large support at 4379. We do note a tick up in gamma at strikes overhead (4450,4500) but they are still smaller than 4400 in positive gamma terms. All eyes are on the Fed for […]
SpotGamma Report for: 07/27/2021 AM
Daily Note: The SPX pushed 10pts higher to close at 4422. This places it through our Call Wall resistance line, and we therefore consider the market overextended until/unless that Call Wall shifts to 4450 or higher. Our intraday options HIRO signal showed bullish flowinto the S&P500, likely buoyed by put sales which helped push the […]
SpotGamma Report for: 07/26/2021 PM
Daily Note: The SPX pushed 10pts higher to close at 4422. This places it through our Call Wall resistance line, and we therefore consider the market overextended until/unless that Call Wall shifts to 4450 or higher. Our intraday options HIRO signal showed bullish flowinto the S&P500, likely buoyed by put sales which helped push the […]
SpotGamma Report for: 07/26/2021 AM
Daily Note: Futures took a dip to 4375 overnight but have recovered to 4400. 4400 is the largest gamma strike on the board, and also remains the Call Wall resistance line. We therefore see the options market pricing the SPX “fair value” at 4378 support to major resistance of 4404. On Friday we had mentioned […]
SpotGamma Report for: 07/24/2021 PM
Daily Note: A big push higher in the SPX to new all time highs of 4411. That coincides with 440 SPY, and major resistance according to our models. For Monday our key data point will be in if this Call Wall shifts to a new higher strike, which opens the market to higher prices. The […]
SpotGamma Report for: 07/23/2021 AM
Daily Note: Futures have pushed higher to 4380 which places the SPX near its 4400 Call Wall resistance line. Our gamma index is flat overnight, which implies another tight trading range of 71bps/31pts. For today we detect large support at 4382 and 4350. Below is a chart of gamma by strike, and you can see […]
SpotGamma Report for: 07/23/2021 PM
Daily Note: Volatility was much lower today, with the SPX closing +8pts to 4367. SPX options volume was quite light at 850k contracts. The VIX was down slightly to 17.69. While QQQ was +60bps there was some notable weakness in IWM -1.6%. With that we saw some distinct weakness in memes, with AMC -8% and […]
SpotGamma Report for: 07/22/2021 AM
Daily Note: Futures are slightly higher to 4360 after a quiet overnight session. There was a substantial build in positive gamma which brings our estimated max move to just 71bbps/31pts for today. 4350 is large support with 4376 the next level overhead. 4400 is the top end of our range into Fridays close. Implied volatility […]