Futures are at 3285 with an overnight high of 3310. From yesterdays flows its clear that some ITM puts were monetized as 2-5k contracts were closed at nearly every strike >=3285. Nearly 40k net calls were added to the 3515 strike, and 10-20k added to select strikes around 3400. There was also 120k SPY 340 strike calls added. To be clear we do not always know if these positions were “bought to open” or “sold to open” (or spreads) but we operate off of the base assumption that the bulk of that activity was call buying.
The VIX also showed with heavy volume, but a 1.65 PC ratio indicating again that there are dip buyers. The largest Call OI in VIX is now at the 40 strike, a level which may play into 11/3.
The bottom line is that there was no real panic in yesterdays option data. The selling felt fairly mechanical and controlled as the marked was pulled down into 3300. As mentioned last night we think it was “same day expiration” flow that helped tether markets for most of the afternoon.For today 3300 is the “pivot” strike and we are anticipating a volatile day. Implied volatility is the key signal here, if it breaks down we could see a snap back rally up into the 3360 area. To the downside we see 3265 as support but note that negative gamma keeps building with lower SPX prices. |
