S&P futures tumbled overnight, erasing all of yesterday's gains ahead of the cash market open. But once OpEx day began and stocks started trading, the S&P went vertical and is chopping around as Nomura's Charlie McElligott notes that trading remains deeply in the throes of Gamma hedging around OpEx.
Via Nomura,
The following levels remain “inplay” (and proving to act as magnets over the course of yesterday’s session):

2850 to the downside (now $3.44B of notional Gamma)

2880 ($2.72B notional Gamma) and

2900 ($6.46B notional Gamma—thus that RAGING +55 handle rally intraday) to the upside as most likely points across the range.
Notably and despite the overnight tone, the S&P Call wing went “bid” yesterday (heavy 2950, 2975, 3000, 3025 C / CS activity) on a nervey “grab,” as futures were intraday pulled higher to the gravity of the large Gamma at 2880 & 2900 strikes, all part of the feedback loop which elicited “rolling stopins” from last week’s “short delta” hedges in Spooz.
S&P CALL WING GOES ‘BID,’ INDICATING THAT THE MARKET IS SCARED OF THE ‘RIGHT TAIL’: See the threeday progression of the optionsimplied price distribution—with the daily move from Tuesday (green) to Wednesday (light blue) to Thursday (pink) shifting further to the right, pulled via demand for higher strikes.
McElligott highlights the following crucial CTA Pivot Points across assetclasses...

Equities

[b/s is 0.06% away] Euro Stoxx 50, currently 100.0% long, [3406.0], selling under 3403.85 (0.06%) to get to 69% , more selling under 3375.27 (0.90%) to get to 92% , flip to short under 3375.62 (0.89%), max short under 3080.76 (9.55%)

[b/s is 0.53% away] Russell 2000, currently 91.6% short, [1559.9], more selling under 1543.52 (1.05%) to get to 96% , max short under 1543.36 (1.06%), buying over 1568.14 (+0.53%) to get to 76% , more buying over 1615.24 (+3.55%) to get to 20% , flip to long over 1615.24 (+3.55%), max long over 1615.39 (+3.56%)

[b/s is 0.53% away] Nikkei 225, currently 91.6% short, [21050.0], more selling under 20939.24 (0.53%) to get to 96% , max short under 20937.14 (0.54%), buying over 22038.1 (+4.69%) to get to 11% , more buying over 22226.64 (+5.59%) to get to 84% , flip to long over 22040.21 (+4.70%), max long over 22228.75 (+5.60%)

[b/s is 0.67% away] S&P 500, currently 68.8% long, [2878.6], more buying over 2898.02 (+0.67%) to get to 84% , max long over 2898.31 (+0.68%), selling under 2740.71 (4.79%) to get to 65% , more selling under 2691.48 (6.50%) to get to 20% , flip to short under 2691.48 (6.50%), max short under 2691.48 (6.50%)

[b/s is 1.02% away] NASDAQ 100, currently 68.8% long, [7600.25], more buying over 7677.6 (+1.02%) to get to 84% , max long over 7678.36 (+1.03%), selling under 7005.86 (7.82%) to get to 65% , more selling under 6778.24 (10.82%) to get to 20% , flip to short under 6778.24 (10.82%), max short under 6778.24 (10.82%)

[b/s is 3.02% away] HangSeng CH, currently 100.0% short, [10756.0], buying over 11080.31 (+3.02%) to get to 96% , more buying over 11743.8 (+9.18%) to get to 76% , flip to long over 11776.38 (+9.49%), max long over 11776.38 (+9.49%)


Bonds

[b/s is 0.14 away] JPY_10Y, currently 100.0% long, [152.83], selling under 152.69 (0.14) to get to 45% , more selling under 151.02 (1.81) to get to 45% , flip to short under 151.03 (1.80), max short under 150.45 (2.38)

[b/s is 0.205 away] ED4, currently 100.0% long, [97.785], selling under 97.58 (0.20) to get to 100% , more selling under 97.58 (0.20) to get to 100% , flip to short under 97.6 (0.19), max short under 97.58 (0.20)

[b/s is 1.3 away] GBP_10Y, currently 100.0% long, [128.61], selling under 127.31 (1.30) to get to 45% , more selling under 124.99 (3.62) to get to 45% , flip to short under 125.0 (3.61), max short under 122.19 (6.42)

[b/s is 1.9619 away] USD_10Y, currently 100.0% long, [124.421875], selling under 122.46 (1.96) to get to 45% , more selling under 119.33 (5.09) to get to 45% , flip to short under 119.34 (5.08), max short under 118.6 (5.82)

[b/s is 2.95 away] EUR_10Y, currently 100.0% long, [166.95], selling under 164.0 (2.95) to get to 45% , more selling under 159.0 (7.95) to get to 45% , flip to short under 159.01 (7.94), max short under 154.51 (12.44)


Commods

[b/s is 0.69% away] Gold, currently 89.7% long, [1286.2], more buying over 1323.47 (+2.90%) to get to 95% , max long over 1323.6 (+2.91%), selling under 1277.34 (0.69%) to get to 61% , more selling under 1238.08 (3.74%) to get to 33% , flip to short under 1238.08 (3.74%), max short under 1237.95 (3.75%)

[b/s is 1.29% away] Copper, currently 100.0% short, [6089.0], buying over 6167.34 (+1.29%) to get to 33% , more buying over 6528.75 (+7.22%) to get to 61% , flip to long over 6167.95 (+1.30%), max long over 6749.77 (+10.85%)

[b/s is 1.43% away] WTI, currently 33.2% long, [62.87], more selling under 54.72 (12.96%) to get to 33% , flip to short under 54.72 (12.96%), max short under 54.71 (12.98%), buying over 63.77 (+1.43%) to get to 61% , more buying over 63.77 (+1.43%) to get to 90% , max long over 65.09 (+3.53%)


FX

[b/s is 0.01% away] USDJPY, currently 1.5% short, [109.935], more buying over 109.9469 (+0.01%) to get to 49% , flip to long over 109.9469 (+0.01%), max long over 109.9579 (+0.02%), selling under 108.0239 (1.74%) to get to 50% , more selling under 108.013 (1.75%) to get to 100% , max short under 108.013 (1.75%)

[b/s is 0.31% away] GBPUSD, currently 100.0% short, [1.2792], buying over 1.2832 (+0.31%) to get to 49% , more buying over 1.3632 (+6.57%) to get to 50% , flip to long over 1.2833 (+0.32%), max long over 1.3632 (+6.57%)

[b/s is 1.62% away] EURUSD, currently 100.0% short, [1.1178], buying over 1.1359 (+1.62%) to get to 49% , more buying over 1.2052 (+7.82%) to get to 50% , flip to long over 1.136 (+1.63%), max long over 1.2052 (+7.82%)

[b/s is 2.05% away] USDCNH, currently 100.0% long, [6.9148], selling under 6.773 (2.05%) to get to 1% , more selling under 6.4014 (7.42%) to get to 100% , flip to short under 6.773 (2.05%), max short under 6.4014 (7.42%)

[b/s is 2.92% away] AUDUSD, currently 100.0% short, [0.69055], buying over 0.7107 (+2.92%) to get to 49% , more buying over 0.7511 (+8.77%) to get to 50% , flip to long over 0.7107 (+2.92%), max long over 0.7511 (+8.77%)
