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Informe SG Levels

May 12, 2021 | 0 Comentarios

Futures are slightly off from last nights close to 4137. They did test lower overnight, with a low of 4110.  It seems as there is some mean reversion to this market, with any push under ~4125 being brought back toward the 4150 strike. If 4100 does fail, then we maintain that this mean reversion breaks, which could lead to a quick test of 4000. To the upside we hold 4150 and 4177 as resistance. Our Implied move today is just 0.8%.

Yesterday we mentioned this “vanna skew” in QQQ, which pointed to continued high volatility in the tech ETF. Today we note that skew has appeared in the S&P, too. This fits in with the 4000-4100 “void” from yesterdays note. This suggests that volatility may be poised to increase in the S&P.

SPX Options Vanna

The closer we push to 5/21 expiration, the more put decay will start to factor in on these large put positions. If bears really want to spark a selloff, they need to strike quickly before the forces of options decay (charm) strike which could put a bid in markets.

Model Overview:

4100-4250 is the range into May OPEX. Gamma is currently high which should lead to low volatility. As long as markets are >4170 we anticipate a low volatility market which grinds higher.

SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ
Ref Price: 4151 4181 417 13197 325
SpotGamma Imp. 1 Day Move: 0.82%, 34.0 pts Range: 4117.0 | 4185.0
SpotGamma Imp. 5 Day Move: 4231 7.21% Range: 3926.0 | 4536.0
SpotGamma Gamma Index™: 0.73 1.37 -0.06 -0.02 -0.15
Volatility Trigger™(ES Px): 4170 4185 418 13475 331
SpotGamma Absolute Gamma Strike: 4200 4200 420 12850 330
Gamma Notional(MM): $-172 $-50 $-259 $-5 $-892
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level(ES Px): 4141 4170 0 0 0
Put Wall Support: 4000 4175 410 12500 320
Call Wall Strike: 4200 4250 421 13750 340
CP Gam Tilt: 1.25 0.97 0.93 0.66 0.53
Delta Neutral Px: 4069
Net Delta(MM): $1,126,804 $1,422,719 $200,318 $35,625 $87,053
25D Risk Reversal -0.1 -0.06 -0.07 -0.09 -0.08
Top Absolute Gamma Strikes:
SPX: [4200, 4175, 4150, 4000]
SPY: [422, 421, 420, 400]
QQQ: [335, 330, 325, 320]
NDX:[14000, 13750, 13500, 12850]
SPX Combo: [4152.0, 4201.0, 4177.0, 4226.0, 4251.0]
NDX Combo: [13168.0, 12957.0, 13366.0, 13537.0, 13088.0]
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