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Informe Option Levels

Feb 13, 2025 | Informe Option Levels

Macro Theme:

Key dates ahead:

  • 2/12: CPI + Powell Testimony
  • 2/21: OPEX
  • 2/26: NVDA ER

On 2/11 we recommended buying SPX ~1-month calls as a way to hedge a right tail move. Our data suggests calls are cheap (ex: 3/13 exp 25 delta call = 10.6% IV ref 6,200).

We flip to risk-off/short delta if SPX trades <6,000.

6,100 – 6,120 is a major band of resistance into 2/12 CPI.

Key SG levels for the SPX are:

  • Resistance: 6,100, 6,120
  • Support: 6,025, 6,000

 

Founder’s Note:

ES futures are 12 bps higher.

Resistance: 6,100, 6,120

Support: 6,050, 6,020, 6,000

As we laid out in last nights note, traders bought yesterday’s CPI opening in a big way, particularly in major single stocks like AAPL & TSLA.

CPI passing has cleared the way for some light vol contraction for short dated expirations which contained some event-vol premium (giving bullish a small edge). We can see this IV decline in SPX fixe strike vol, which shows Tuesday’s PM vol against this mornings.

Vol out past Feb is flat to mildly higher, which is not all that surprising given that it essentially no event-vol premium, and is near a statistical lower bound (i.e. its already “cheap”).

IV for tomorrow is a elevated with retail sales on the tape.

We’ve been pitching the idea that IV is cheap here, which on net warrants the purchase of options (both calls and/or puts. We been (uncomfortably) discussing long call options in particular, as we see call IV as very reasonable, and the fact is that traders into CPI have had no real interest in getting long downside volatility hedges. This lack of hedging despite poor earnings, tariff headlines etc.

Yesterday was another great example of this “can get stocks down” dynamic, wherein calls were bought right at the opening dip. Take, for example, the S&P500 equity basket which shows +$2.2bn of positive deltas (

HIRO

) bought over the day. If CPI was such a disaster you would think that at a minimum calls would be sold, and into a really scary outcome puts would be bought. That didn’t happen.

The second dynamic we thought would change post-CPI is the 6k-6,100 “box”. That range has dominated over the last month.

Yesterday’s SPX open was right on 6k, and that led to a rally right back to 6,050 (squarely in the middle). We continue to see a layer of positive gamma strikes from 6,100-6,150 above, which should offer some stickiness. Below that area price should, on “daily” time horizons, remain fluid. A break <6k is likely a signal of a long term volatility spike and sharp equity drawdown.

That upside area, which coincides with all time highs, has obviously been violently rejected on its last 3 tries over the last month. 2/3 rejections have been tariff related, with one “DeepSeek”. The “half life” of the reaction to these tariff threats seems high, as traders clearly aren’t placing major hedges against significant market declines. We also think that if single stocks can catch a bid (i.e. Mag 7s) then that could force the SPX >6,100.

 

/ES

SPX

SPY

NDX

QQQ

RUT

IWM

Reference Price:

$6075.95

$6051

$603

$21719

$528

$2255

$223

SG Gamma Index™:

-0.005

-0.263

SG Implied 1-Day Move:

0.59%

0.59%

0.59%

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™:

$6069.95

$6045

$603

$21440

$527

$2270

$226

Absolute Gamma Strike:

$6024.95

$6000

$600

$21450

$530

$2300

$220

Call Wall:

$6224.95

$6200

$610

$21450

$535

$2285

$235

Put Wall:

$6024.95

$6000

$600

$21000

$510

$2150

$220

Zero Gamma Level:

$6040.95

$6016

$602

$21340

$527

$2284

$230

SPX

SPY

NDX

QQQ

RUT

IWM

Gamma Tilt:

0.999

0.787

1.517

0.830

0.744

0.458

Gamma Notional (MM):

$97.57M

‑$488.882M

$13.287M

‑$162.729M

‑$29.013M

‑$1.102B

25 Delta Risk Reversal:

-0.043

-0.023

-0.051

-0.031

-0.031

-0.011

Call Volume:

522.269K

1.378M

8.43K

737.595K

32.416K

261.032K

Put Volume:

910.24K

1.969M

8.685K

942.568K

45.102K

672.35K

Call Open Interest:

6.781M

5.511M

64.326K

2.626M

250.353K

3.139M

Put Open Interest:

12.687M

12.275M

75.353K

4.858M

407.052K

7.197M

Key Support & Resistance Strikes

SPX Levels: [6000, 6100, 6050, 6150]

SPY Levels: [600, 605, 595, 610]

NDX Levels: [21450, 22000, 21400, 21500]

QQQ Levels: [530, 525, 520, 510]

SPX Combos: [(6349,84.81), (6300,96.32), (6276,73.73), (6252,95.50), (6227,87.40), (6221,84.50), (6197,98.83), (6179,68.87), (6173,94.51), (6167,97.35), (6161,79.37), (6149,98.21), (6143,85.93), (6131,83.12), (6125,89.82), (6119,91.17), (6112,90.30), (6106,86.81), (6100,98.69), (6094,85.34), (6088,83.30), (6082,84.97), (6076,88.84), (6070,85.40), (6064,82.11), (6046,70.21), (6028,91.52), (6022,69.33), (6016,91.71), (6010,81.09), (5998,98.55), (5991,79.06), (5985,78.75), (5979,74.50), (5973,88.20), (5967,94.48), (5949,93.74), (5937,75.19), (5931,80.42), (5925,83.85), (5919,85.68), (5913,71.08), (5901,97.39), (5883,69.87), (5876,75.75), (5870,80.92), (5852,90.65), (5822,84.78), (5816,74.50), (5798,94.33), (5774,71.47), (5768,71.31)]

SPY Combos: [613.08, 618.52, 608.24, 614.89]

NDX Combos: [21459, 22002, 20959, 21372]

QQQ Combos: [522.14, 530.06, 534.81, 510]