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Informe SG Levels

Jul 15, 2022 | Option Levels | 0 Comentarios

Futures have popped higher to 3835 as we enter expiration Friday.  We look for 1% ranges again today, with support at 3800 at 3825. Resistance shows at 3850 then 3900.

In regards to today’s expiration there is not much for SPX/QQQ, but 30% of SPY gamma expiring. Most of this is concentrated <=380 SPY as shown below. Further 380 is quite strong, and a line which should be considered support for this session. We do not think this expiration provides much buying power, but offers more of an unpinning of the 380/3800 area for next week.

Further, we see the VIX breaking down under 26 this morning. We’ve flagged VIX support and resistance at 25-30 based on large open interest for 7/20 VIX expiration. Therefore we appear to be compressing up into the S&P gamma flip level (3825) with VIX entering a range with large put positions. In other words we think the fuel to push materially higher drains off as the SPX moves >3825 and VIX <25.

One cannot deny that there is a bid to the S&P and/or a demand to sell vol when the market tests the 3750 area. As mentioned above this expiration will help to pull some of that 380/3800 stickiness, and VIX expiration may lead to a reset of the VIX 25-30 range, too. Further, the closer we get to 7/27 FOMC the more of a bid there should be in vol.

These are the reasons we’ve been looking for weakness into the second half July. If markets are above the Vol Trigger level (3825) then our models are compelled to give bulls the edge, however we continue to see <3800 as the area where risk increases, particularly after Tuesday (VIX exp).

One note here, if you recall back to April and May VIX expirations we did get rather violent 1 day rallies in the S&P, and we are on watch for that again on Tuesday. Its a bit of a similar VIX exp setup here – and you may recall that both of those VIX-exp rallies faded the next day. You can review that report here.

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 3789 3801 377 11765 286
SpotGamma Imp. 1 Day Move:
Est 1 StdDev Open to Close Range
1.22%, (±pts): 46.0 VIX 1 Day Impl. Move:1.66%
SpotGamma Imp. 5 Day Move: 2.98% 3899 (Monday Ref Px) Range: 3783.0 | 4015.0
SpotGamma Gamma Index™: -1.08 -1.09 -0.31 -0.01 -0.07
Volatility Trigger™: 3825 3825 385 12000 290
SpotGamma Absolute Gamma Strike: 3800 3800 380 12500 280
Gamma Notional(MM): -747.0 -691.97 -1697.0 -1.0 -402.0
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 3946 3957 0 0 0
Put Wall Support: 3700 3700 370 11000 280
Call Wall Strike: 4005 4005 390 11150 295
CP Gam Tilt: 0.69 0.64 0.48 0.93 0.75
Delta Neutral Px: 4021
Net Delta(MM): $1,550,083 $1,554,713 $162,652 $60,306 $100,091
25D Risk Reversal -0.08 -0.08 -0.06 -0.08 -0.07
Call Volume 486,870 486,870 1,699,541 6,476 744,862
Put Volume 871,946 871,946 2,902,061 5,985 1,002,464
Call Open Interest 5,799,676 5,799,676 7,082,086 68,280 4,578,641
Put Open Interest 10,048,084 10,048,084 11,177,310 64,739 6,516,805
Key Support & Resistance Strikes:
SPX: [4000, 3900, 3850, 3800]
SPY: [385, 380, 375, 370]
QQQ: [300, 290, 285, 280]
NDX:[12500, 12000, 11800, 11150]
SPX Combo (strike, %ile): [3688.0, 3737.0, 3790.0, 3703.0, 3752.0]
SPY Combo: [367.76, 372.67, 377.96, 369.27, 374.18]
NDX Combo: [11530.0]
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