SPY – Bearish – Neutral
From Spot Gamma: Note that VIX expiration is this morning, which can add to the market volatility and gyrations, so we advise caution around the 9:30 EST open – there could be a “fake out” move.
Gamma Index: Decreased to -0.16 (ook for rapid directional changes)
Vol Trigger: Decreased to 414 (below this level = high market volatility.)
Abs Gamma Strike: Decreased to 415 (May function as a “magnet” and large liquidity area.)
Gamma Notional: Decreased to -769 (stock has large put gamma position)
Put Wall Support: Increased to 410 (bullish indication.)
Call Wall Strike: Unchanged
Gamma Tilt: Decreased 0.81 (bearish signal.)
Net Delta: Increased to 209,667 (options market makers have a net long hedge)
25d risk reversal: Increased to -0.1 (traders are placing a higher price on put options.)
Topp Abs Gamma Strikes: [420, 415, 410, 400]
- Support at 407
- Major support at 400
- Bearish Pt: 405 – 404.68 – 402.81 – 400
- Bullish Pt: 410 (resistance) – 411.03 – 412.17
- Major resistance at 414-415.
Side Note: With the w-shpae thesis we are near the bottom (where the w should make it way back up to complete) but we could test 400 gap fill. Just be mindful if you show bias towards this thesis.
Thanks for reading,
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