loader image

Informe SG Levels

Feb 15, 2022 | 0 Comentarios

Futures have rallied sharply to 4456 on news that Russia is returning some troops. While we aren’t qualified to comment on geopolitical events, we would state that headlines “matter more” when gamma is sharply negative. On that, our volatility estimate is in line with yesterday at 1.37% (1 stdev move open/close). Resistance is at 4500 & 4520.  Support lies at 4450 & 4400.

The current gamma buildup seems heaviest at 440SPY/4400SPX and 450SPY/4500SPX. In this range (4400-4500) the market is quite fluid, and driven by negative gamma/vanna flows. While the headline was enough to enter the slipstream higher; a reversal back down is just as easy.

The largest gamma strikes in the S&P are SPY 440 and SPY 450.

Similarly, into Friday we see 350 & 360 in QQQ as the most prominent strikes.

However, as we approach Fridays OPEX we think the trading range should tighten back down around the 4500 area. Through tomorrow an extended rally fueled by declining implied volatility[IV] & put decay could push markets back up into the 4520-4550 area, which is where we noted heavy resistance last week.

Currently we measure ~25% of SPY/SPX/QQQ gamma expiring which should remove some net negative gamma into Monday. As this is a put heavy expiration, the decay and closing of these puts could keep a tailwind in for markets through Friday, but it does remove some “lower bound” support (currently seen at 4370) into end of month. Recall this lower bound idea is that essentially markets are currently too well hedged to have a material decline.

SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ
Ref Price: 4391 4417 437 14261 347
SpotGamma Imp. 1 Day Move: 1.37%, Est 1 StdDev Open to Close Range (±pts): 60.0
SpotGamma Imp. 5 Day Move: 4.38% 4417 (Monday Ref Px) Range: 4224.0 | 4610.0
SpotGamma Gamma Index™: -1.48 -1.51 -0.41 -0.02 -0.18
Volatility Trigger™: 4520 4520 450 14730 360
SpotGamma Absolute Gamma Strike: 4500 4500 440 14800 350
Gamma Notional(MM): $-763 $-767 $-1,895 $-2 $-1,001
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4557 4548 0 0 0
Put Wall Support: 4300 4300 425 13500 350
Call Wall Strike: 4700 4700 460 14800 400
CP Gam Tilt: 0.66 0.63 0.47 0.87 0.4
Delta Neutral Px: 4503
Net Delta(MM): $1,693,006 $1,690,185 $185,091 $38,788 $95,574
25D Risk Reversal -0.09 -0.09 -0.11 -0.1 -0.1
Key Support & Resistance Strikes:
SPX: [4500, 4450, 4400, 4300]
SPY: [450, 440, 430, 425]
QQQ: [360, 350, 345, 340]
NDX:[14800, 14500, 14000, 13500]
SPX Combo (strike, %ile): [4292.0, 4393.0, 4341.0, 4266.0, 4503.0]
SPY Combo: [427.66, 437.73, 432.48, 425.04, 448.67]
NDX Combo: [14363.0, 14163.0, 13949.0, 14577.0]
Sub Login
Support
Follow @SpotGamma
Strike Charts
Historical Chart
Gamma Expiration Tool
2022-02-15_CBOE_gammagraph_AMSPX.png
2022-02-15_CBOE_gammagraph_AMSPY.png
2022-02-15_CBOE_gammagraph_AMQQQ.png
2022-02-15_CBOE_gammagraph_AMNDX.png
2022-02-15_CBOE_gammagraph_AMIWM.png
2022-02-15_CBOE_gammagraph_AMRUT.png
2022-02-15_CBOE_gammagraph_AMDIA.png