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Informe Option Levels

Informe Option Levels

Macro Theme: Key dates ahead: 2/27: GDP 2/28: PCE SPX Risk on >6,000 Risk off <5,975 Key SG levels for the SPX are: Resistance: 6,000, 6,020, 6,050 Support: 5,950, 5,925, 5,900   Founder’s Note: Futures are 60bps higher, leaving the SPX to test the...
Informe Option Levels

Informe Option Levels

Macro Theme: Key dates ahead: 2/26: NVDA ER 2/27: GDP 2/28: PCE 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). Update (2/20): We flip to...
Informe Option Levels

Informe Option Levels

Macro Theme: Key dates ahead: 2/26: NVDA ER 2/27: GDP 2/28: PCE 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). Update (2/20): We flip to...
Informe Option Levels

Informe Option Levels

Macro Theme: Key dates ahead: 2/26: NVDA ER 2/27: GDP 2/28: PCE 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). Update (2/20): We flip to...
Informe Option Levels

Informe Option Levels

Macro Theme:   Key dates ahead: 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). Update (2/20): We flip to...