Daily Note:
Futures are at overnight highs of 4040 ahead of this mornings CPI report (8:30AM ET). Volatility estimates have not shifted, with SG having an implied move of 1.2% vs VIX implied move of 2.08%. Resistance is at 4100, support is at 4000.
The open interest at 400SPY/4000SPX has increased in size the last few sessions, further establishing it as the dominant strike. It remains that <400/4000 we have “purely puts”, and that increases “capitulation risk”.
The S&P has made several attempts now to break 4000, but the mean reversion has been strong around this very large strike. We continue to give some edge to a sharp relief rally here driven by short covering (both stock shorts as well as dealers covering short hedges). This could easily push the S&P into the 4200 area through Friday.
Conversely, we’ve thus far lacked an obvious trigger to break 4000. A large miss from today’s CPI could bolster expectations of higher rates, and be the signal which places the 4000 support level to the test.
We also wanted to highlight the large size at 300 QQQ, which marks not only a very large put position, but its the last material level of calls, too.
This level is particularly interesting given the price action at 300 yesterday, shown here.
In summary our overall view has not shifted much from the yesterdays report, we simply have the added catalyst of today’s CPI report. This weeks expirations remain rather small (~5% of S&P500 gamma expiring), and so that signals that current key levels should hold into next week.
5/20 remains the key date ahead wherein we would see a material change in options positioning, the directional impact of which needs to be assessed early next week.
| SpotGamma Proprietary Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Ref Price: | 4001 | 3999 | 399 | 12345 | 300 |
| SpotGamma Imp. 1 Day Move: Est 1 StdDev Open to Close Range |
1.23%, | (±pts): 49.0 | VIX 1 Day Impl. Move:2.08% | ||
| SpotGamma Imp. 5 Day Move: | 2.99% | 4123 (Monday Ref Px) | Range: 4000.0 | 4247.0 | ||
| SpotGamma Gamma Index™: | -2.00 | -2.01 | -0.35 | -0.03 | -0.11 |
| Volatility Trigger™: | 4350 | 4300 | 430 | 13650 | 325 |
| SpotGamma Absolute Gamma Strike: | 4000 | 4000 | 400 | 14050 | 300 |
| Gamma Notional(MM): | -1005.0 | -971.0 | -1633.0 | -4.0 | -648.0 |
| Additional Key Levels | Latest Data | Previous | SPY | NDX | QQQ |
|---|---|---|---|---|---|
| Zero Gamma Level: | 4393 | 4325 | 0 | 0 | 0 |
| Put Wall Support: | 4000 | 4000 | 400 | 12000 | 300 |
| Call Wall Strike: | 4700 | 4700 | 450 | 14050 | 330 |
| CP Gam Tilt: | 0.48 | 0.46 | 0.44 | 0.64 | 0.55 |
| Delta Neutral Px: | 4343 | ||||
| Net Delta(MM): | $1,789,871 | $1,661,425 | $186,345 | $44,022 | $110,013 |
| 25D Risk Reversal | -0.09 | -0.08 | -0.07 | -0.12 | -0.09 |
| Call Volume | 522,440 | 525,968 | 2,995,857 | 11,688 | 1,295,654 |
| Put Volume | 869,354 | 921,538 | 3,280,252 | 11,262 | 1,375,044 |
| Call Open Interest | 5,527,237 | 5,522,413 | 7,163,791 | 59,095 | 4,791,099 |
| Put Open Interest | 10,183,129 | 9,602,094 | 10,406,491 | 53,106 | 6,267,181 |
| Key Support & Resistance Strikes: |
|---|
| SPX: [4300, 4200, 4100, 4000] |
| SPY: [410, 400, 390, 380] |
| QQQ: [320, 310, 305, 300] |
| NDX:[14050, 14000, 13000, 12000] |
| SPX Combo (strike, %ile): [4001.0, 3901.0, 3949.0, 4101.0, 4009.0] |
| SPY Combo: [399.09, 389.11, 393.9, 409.07, 399.89] |
| NDX Combo: [12309.0, 12111.0, 12519.0] |
