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Informe SG Levels

Feb 28, 2022 | 0 Comentarios

Futures retraced Fridays rally, currently near 4315, which is off of 4250 lows. There were some fairly large shifts in our key levels as strips of in-the-money options (both calls & puts) were closed Friday. With that we look for fairly high volatility again today, but less than last week as put fuel has drained out. Resistance shows at 4355, 4380 & 4402. Support lies at 4307 the 4250.

We find it most interesting that the overnight futures move simply reversed most of Fridays move. On Friday our HIRO signal noted that the SPY/QQQ options flow shifted from long deltas (bullish) to short deltas (bearish) on the break from 4350-4400. Its also clear based on the shifts in today’s levels that with Fridays session there were some fairly material open interest changes. The primarily served to fill in interest >=4400.

Through our options lens we think the market has just simply reverted back to equilibrium after a strong short cover rally.

We now mark the 4400-4450 (Call Wall) area as major overhead resistance, likely for the next several sessions. As for the downside we’ve been watching our EquityHub model which shows major support at 4205 and 4100. A break of 4100 pushes us into that “Lower Bound” area, wherein we would expect another significant rally (purely based on options positioning). The “nodes” shown below indicate a significant change in the rate of dealer gamma hedging, which we believe functions as support.

Fridays expiration served to reduce the total amount of negative gamma across the S&P/QQQ. Therefore, while markets should remain volatile, they should have less movement compared to the extreme moves of last week.

We continue to believe that material, longer term rallies cannot form until there is clarity on monetary policy. Clarity around policy can reduce the size of put positions, which can reduce volatility and drive markets higher. Its likely this does not happen until March 16-18 (FOMC & OPEX).

SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ
Ref Price: 4285 4380 437 13869 345
SpotGamma Imp. 1 Day Move: 1.17%, Est 1 StdDev Open to Close Range (±pts): 50.0
SpotGamma Imp. 5 Day Move: 3.78% 4285 (Monday Ref Px) Range: 4123.0 | 4447.0
SpotGamma Gamma Index™: -0.58 -1.41 -0.22 0.01 -0.12
Volatility Trigger™: 4380 4530 440 14050 352
SpotGamma Absolute Gamma Strike: 4400 4300 440 14075 350
Gamma Notional(MM): $-755 $-246 $-934 $0 $-694
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4444 4408 0 0 0
Put Wall Support: 4200 4200 430 13000 325
Call Wall Strike: 4450 4600 444 14075 400
CP Gam Tilt: 0.86 0.87 0.69 1.03 0.55
Delta Neutral Px: 4460
Net Delta(MM): $1,655,160 $1,674,419 $178,949 $38,968 $101,327
25D Risk Reversal -0.1 -0.11 -0.1 -0.09 -0.09
Key Support & Resistance Strikes:
SPX: [4500, 4450, 4400, 4300]
SPY: [450, 440, 435, 430]
QQQ: [360, 350, 345, 340]
NDX:[15000, 14500, 14075, 14000]
SPX Combo (strike, %ile): [(4402.0, 88.73), (4355.0, 92.57), (4307.0, 81.04)]
SPY Combo: [444.32, 429.43, 449.13, 450.44, 439.5]
NDX Combo: [13752.0, 13627.0]
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