During yesterday's market ramp, Eminis hit a brick wall at exactly 3,400 which according to SpotGamma yesterday is exactly where the "gamma wall" in the S&P was to be found.
However, now that the trading range has reset higher and the S&P is set to open around 3,400 what are the key "gamma" levels for the market? For the answer we go to the latest note out of our friends at SpotGamma who note this morning that not surprisingly, the largest interest area shifts from 3350 up to 3400.
As the derivative experts explain, if the market can sustain the rally up into 3500, "gamma notional levels increase which should add some stability to S&P prices" however, the tricky part for bulls here is that the modeled "Call Wall" did not roll up much overnight. That said, they see 3410 as the largest positive gamma strike "which indicates resistance and/or a tendency for markets to mean revert should this level be broken."
For todays action, they list 3400 as the key pivot and a large price magnet, while 3350 remains support and a break of that area suggests a sharp expansion in volatility. To the upside, the primary resistance is at 3410, but note a large Combo bar at 3428.
Finally, on the single stock side, SG writes that while they have seen a small uptick in call positions they "aren’t detecting anything abnormal" which probably means that SoftBank is taking a break from last week's gamma squeeze.