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Predictive Analytic Models (PAM)
Robert P. Balan
May 21, 2024 11:49 AM (Swiss) Europe session
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ESM24 (now 5331) -- the very prominent feature of the 0DTE second order Greek setup, is the dominance of Put Sells (blue bar, pointing down) in both Volume and Value terms. 

The strike prices with large Put Sells (5320, 5300, and especially 5275) are likely to act as support levels for ES. Large put sells indicate market expectation that ES will remain above these levels. Sellers of these puts have negative gamma exposure; therefore, if ES starts to decline towards 5320 or 5300, the Put sellers might buy ES futures to hedge, thereby supporting the ES price. 

If that fails, the very large Put Sell at 5275 might create a "pinning effect" where the price gravitates towards, and stays, at this level, especially is this happens during late NY trade, as expiration (NY close) approaches.

Volume and Value Buy-Sell summation shows some Net Call Buy activity -- but that is due to large far OTM Calls -- if these OTM Call Buys are removed from the order book, what is left in 0DTE, is dominant Call Sells at higher strikes (5340 to 5355, firm resistance) and very large Put Sells at lower strikes (5320 to 5275, firm support). 

As the situation stands, as for now, we see this a very defensive, limited-range situation. The intraday time segments support that stance -- its all Net Call Sells, with signifiant dominance of Put Sells. Looks like the market is bearish, but market makers see ES (or want it) having a limited downmove to no lower than 5300. 

This conclusion is supported by a massive Call Buy at 5300 from Value POV -- which makes support at 5300 rock-solid (at least for now). This situation will change if these orders are withdrawn or are replaced with other order types.
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