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Informe Option Levels

Nov 14, 2024 | Informe Option Levels

Macro Theme:

 

Key dates ahead:

  • 11/13 CPI
  • 11/15 OPEX
  • 11/20 VIX exp, NVDA ER

We remain long of equities while SPX is >5,950, with an upside target of 6,050.

6,000 is a massive support/pivot level the OPEX week of 11/11.

From pre-election: “Jan NVDA and/or QQQ calls are our preferred way to hedge the election/FOMC right tail, as call skews are statistically cheap, and the coupling of higher equity prices with call demand could lead to a sharp increase in call values.”

RE: TSLA

We are looking for a short-term top in the stock to occur this week (11/11), with three signals as a trigger:

  • Large Nov OPEX removing +1/3 of negative gamma (a driver for upside volatility)
  • A shift to 90-day highs in Call Skew (monitor vol dashboard skew charts)
  • Price reaching 400 – the ATH

Key SG levels for the SPX are:

  • Support: 5,980, 5,950
  • Pivot: 6,000
  • Resistance: 6,020, 6,050
  • As of 11/11:
  • Remain long equities if >5,950
  • Neutral equities from 5,950 to 5,900
  • Short equities if SPX <5,900

QQQ:

  • Support: 510, 509, 500
  • Resistance: 515, 520

IWM:

11/12: Skew Rank >90 indicates calls are statistically rich relative to puts. For that reason we are looking for some downside consolidation through 11/15 OPEX (IWM ref px: $240).

  • Support: 235, 230
  • Resistance: 240

 

Founder’s Note:

Futures are up fractionally, indicating and SPX open near 6,000.

PPI & Jobless Claims at 8:30AM ET. Powell at 3pm.

Does the market care about PPI? The 0Dte straddle is just $24, or 40 bps! This is as low as we see in 0DTE straddle pricing. (More on the importance of this in a moment…)

Its not a coincidence that this ultra-tight 0DTE pricing lines up with 6,000 SPX & SPY 600 having increased in gamma-strength, from a big +$400mm in

call gamma

yesterday to a “ginormous” +$700mm today. More gamma today makes this 6k an even more massive source of hedging flow, and a likely pinning/magnet zone – as its been for several days.

You can see below how the SPX has been mean-reverting right back into the 6k strike over the last 2 sessions, and we think that continues today. You need big news and a big, continuous source of exogenous flow to break from this strike.

So, whats the problem with this 0DTE pricing?

We view volatility as having a reverberation, or decay. You have a big event, like elections, which produces large volatility, and then that volatility gets sold & decreases over time. Often, its OPEX that marks the end, or low point, of volatility decay. The problem in situations like this, is that traders are likely to extrapolate very low volatility into the future, until realized volatility pops. This causes short vol traders to cover, which exacerbates movement. This then resets the volatility cycle.

The reason that OPEX may mark an end to an RV pattern is that large positions, and their related hedging flows, expire.

In this case, “volatility increasing” seems like an “extra easy” call because the 0DTE prices are at real lows heading into a monthly OPEX/VIX EXP and NVDA’s ER next week. We do not think you want to be short options/vol into 11/20 as we likely get large market moves, either: “stock down, vol up” or “stock up, vol up”.

We can also break all this down rather simply. Out of 11/20:

  • If the SPX is >6k, we remain bullish (& long delta) and think that the rally lasts into Dec OPEX.
  • Neutral 5,900 – 6,000 (flat delta positions)
  • Bearish <5,900 (short delta)

 

/ES

SPX

SPY

NDX

QQQ

RUT

IWM

Reference Price:

$6012.3

$5985

$597

$21036

$512

$2369

$235

SG Gamma Index™:

2.608

0.178

SG Implied 1-Day Move:

0.60%

0.60%

0.60%

SG Implied 5-Day Move:

1.95%

1.95%

SG Implied 1-Day Move High:

After open

After open

After open

SG Implied 1-Day Move Low:

After open

After open

After open

SG Volatility Trigger™:

$5972.3

$5945

$598

$20290

$512

$2380

$237

Absolute Gamma Strike:

$6027.3

$6000

$600

$21000

$510

$2400

$230

Call Wall:

$6027.3

$6000

$600

$21400

$515

$2600

$240

Put Wall:

$5527.3

$5500

$596

$18500

$500

$2250

$234

Zero Gamma Level:

$5933.3

$5906

$591

$20056

$511

$2363

$235

SPX

SPY

NDX

QQQ

RUT

IWM

Gamma Tilt:

1.336

1.181

1.675

1.05

1.012

0.946

Gamma Notional (MM):

$663.365M

$563.392M

$12.935M

$13.962M

‑$2.208M

‑$62.18M

25 Delta Risk Reversal:

-0.027

-0.001

-0.032

-0.008

-0.014

0.011

Call Volume:

556.824K

1.305M

8.468K

653.336K

32.549K

374.73K

Put Volume:

893.015K

1.839M

11.067K

926.671K

36.034K

631.724K

Call Open Interest:

7.491M

6.219M

67.76K

3.38M

336.644K

4.101M

Put Open Interest:

14.034M

14.438M

92.591K

6.593M

549.511K

8.653M

Key Support & Resistance Strikes

SPX Levels: [6000, 5950, 5900, 5800]

SPY Levels: [600, 595, 590, 598]

NDX Levels: [21000, 21100, 20500, 21500]

QQQ Levels: [510, 500, 515, 505]

SPX Combos: [(6249,95.93), (6225,75.44), (6201,98.53), (6177,79.98), (6165,84.60), (6153,96.48), (6123,88.83), (6111,87.27), (6099,99.32), (6087,83.08), (6081,73.10), (6075,94.50), (6069,87.36), (6063,90.88), (6057,98.70), (6051,99.61), (6045,89.44), (6039,92.87), (6033,88.20), (6027,98.98), (6021,95.93), (6015,97.42), (6009,91.88), (6003,95.85), (5997,99.69), (5979,72.09), (5973,91.44), (5961,72.05), (5949,92.80), (5943,87.87), (5932,69.37), (5914,76.01), (5902,76.82), (5800,69.14), (5752,73.28), (5698,78.63)]

SPY Combos: [598.69, 608.24, 603.47, 618.39]

NDX Combos: [21141, 21352, 21204, 21268]

QQQ Combos: [514.96, 520.09, 500.09, 515.99]