Waiting for CPI
Premarket commentary for May-9, 2023 Elaborated by the Point-Blank Trading team. Gamma data and charts provided by @TradeVolatility
Trading map
Since SPX stayed in the original box yesterday (top=4145.1, bottom=4127.9) we have decided to use the same boxes today. Remember that to set up your boxes you must create the initial box, then clone them, stack them and add the Fib retracements.
From yesterday's map we took out the targets we had set for the calls we suggested to buy at 4132. It happens quite often that the 0.786 Fibonacci level is the top of an upward move, and that 0.236 is the bottom if the move is downward.
Gamma
Today's Gamma is quite unique, highly concentrated in two strikes. Those strikes stand out in the Open Interest with comparatively high call positions. The 4140 strike has OI of 6988 and the 4150 strike has OI of 9618. Compared to the rest of the open positions these amounts seem relatively high, but keep in mind that 0dte option volumes can exceed 100,000 contracts in a strike.
All in all it looks like it will be very difficult for SPX to close above that 4140/4150 barrier today, especially on a day with no major announcements.
GTH
Overnight and premarket activity shows that for today's expiration the 4100 put is the most active contract, followed by 4145, 4135 calls and 4075 puts. 4130 and 4135 are strikes of interest.
The futures market is also dominated by the puts activity during the GTH, with a high Put/Call ratio of 2.346.
Expectations
Global Trading Hours activity in both the SPX and its futures give a bearish tinge to today's session, however we believe the market will look to close flat today.
For trading purposes we are looking at 4110-4115 as a good area to buy calls, while puts look attractive in the 4140-4145 area. These strikes are likely to set today's range. Any further opportunities would be advised via Twitter.
Have a nice day and a productive trading session