Futures have held 3800 overnight after a quiet session. Data from yesterday show a small build in call positions, with 3800 still holding as the large "base". Gamma notional levels remain quite light across all indicies, with 3775 reforming as the critical risk level, and 3850 the upside target. The SG index implies a 1.18% move today due to that light gamma level.
As noted several times in recent days we are anticipating a reduction in volatility as the inauguration passes, which could provide a tailwind for equities and a push to the Call Wall 3850 area.
The call building in SPY is interesting as we see quite a build up at the 385 strike as seen here. There was a small tick up in 3900 strike SPX volume, too. We note little put interest for traders yesterday.
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