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OPTIONS VOLITILITY LEVELS
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Good morning, everyone. Today is Tuesday, September 1st. We come into a brand new month, and of course we come off another ridiculous day in the trade plan, where we called in the Weekend Review that we would gravitate toward our major 4-Hour level at 7679.25. It was so imperative for the market to hold, as it was truly the level holding the entire market up. Yesterday this area came down and played with precision on both ES and SPX, held to the tick all day long, only to end up popping higher for about 25 points for a spectacular display of trade plan perfection.
Just as stated in the post-market breakdown and in the Weekend Review, that level on ES at 7679.25 and the 7666.88 on SPX was in fact so very important, as this was the level that was imperative for us to hold — it made all the difference between us continuing our move back into potential all-time highs or drifting lower to fill the weekly gap.
In the overnight session, price has pushed down violently this morning. We are down 46 points at the time of this writing, bringing us right down into our half gap and touching with precision our previous all-time high at 7648.75. As many of you know, this was the big spot I have been talking about for a potential target and a potential reaction, and right now price is holding firmly at the lows.
A Note on Today’s Market:
News: We have Red Tag news after the open today at 10:00 a.m. We have ISM Manufacturing PMI and JOLTS Job Openings, both at 10:00 a.m. Eastern. Given that we have pushed down in the overnight session with Red Tag news coming after the open, we must be prepared for volatility, as we have now moved outside the range we have been in for quite some time.
Volume: We have a Relative Volume at the time of this writing of plus 78%, which is drastically higher than anything we’ve seen for weeks. This complements our expected range today, giving us another 43 points left in the tank to potentially move above or below the overnight highs or lows. This is a nice change of pace considering the slow summertime progression we have had.
Range: Expected range of 56.26 points. However, we have already moved 59.5 points in the overnight session, already exceeding our expected range for the day. Relative volume is what extends our runway from here.
Gamma: Our gamma flip level is located at 7760, which is well above us and truly very close to our massive pivot level around 7752 — a level we have stated over and over that we are inherently bearish underneath. The dealers are hedging essentially this level and lower, giving us confirmation that our bias is in fact correct.
Trend: Downside lean. We come into the morning down on all time frames on ES. We have lost on the 4-Hour, the 1-Hour, and the Daily time frames, and right now this keeps our process pointed to the downside.
🧠 Current Market Context
All Time Frames Lost & The Half Gap Touch
Price was drifting sideways in the overnight action but got a fierce push down around four o’clock this morning, and we have moved into the previous all-time high at 7648.75, where price is currently holding. We are essentially flirting with our options pivot at 7651.00 and our previous Weekly Value Area Low at 7656.00. This is a massive area, as directly below us we know we have the gap fill at 7640.25, and directly above us we have massive resistance that could potentially take us down into the large buy spot we’ve talked about for some time.
