Good Morning,
- Dealers will start the day off in negative gamma, which implies higher volatility should be expected. While the downward trend of our PV bands continues to open up those lower levels, we'll still be looking for some support around the 5100 strike, right around where our gamma curve starts to flatten out.
- That said, if this volatility continues, we'll be at risk of triggering some aggressive selling flows from CTA's and Vol control funds, at which point all bets are off.
- For now, the trading range is between the 5250 strike and the 5150 strike, but with Non Farm Payrolls today, and CPI coming up next week, we're approaching this as an exceedingly high-risk setup.
For access to the full report, please click here!
-Craig Peterson
