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Ultimo Informe SG Levels

Mar 1, 2022 | 0 Comentarios

Futures rejected off of 4400 overnight and dropped down sharply to 4342. SpotGamma models forecast moderate volatility again today, with a est 1.19% open/close move. Overhead resistance remains at 4380 & 4400. Support lies at 4300 then 4279.

Because the geopolitical + monetary outlook remains uncertain there is no “risk on”, and demand for downside protection persists.

Through that lens our view of markets remains in line with that of the past several weeks: this is a market being moved about by the flow around put options. The rallies, like yesterdays, continue to be the function of short covering and 0DTE options flow. This short covering flow essentially runs out of fuel as markets approach gamma neutral, which we mark as 4400 (large open interest just above 4380 Vol Trigger).

As shown in the map below, its above 440SPY /4400SPX wherein there are positive gamma positions via call options (top right red square). This area is viewed as resistance, but also a zone wherein volatility should reduce. The bottom left zone highlights the large put positions which remain in place, and likely remain in place until mid March (FOMC + OPEX). Because these big put positions aren’t being closed, negative gamma persists, which leads to violent swings when the market is rejected at overhead resistance.

Until these puts are removed, we will continue to characterize rallies as short covering and therefore fragile. We would revise this outlook if/when we see significant call flows enter the market (which has not been the case).

Zooming out, material support on the downside shows at 4200, and then our “lower bound” rests at 4100. This “lower bound” is the area wherein we see reduced downside pressure from options hedging.

SpotGamma Proprietary Levels Latest Data Previous SPY NDX QQQ
Ref Price: 4373 4370 436 14214 346
SpotGamma Imp. 1 Day Move: 1.19%, Est 1 StdDev Open to Close Range (±pts): 52.0
SpotGamma Imp. 5 Day Move: 3.78% 4285 (Monday Ref Px) Range: 4123.0 | 4447.0
SpotGamma Gamma Index™: -0.62 -0.60 -0.22 0.01 -0.11
Volatility Trigger™: 4380 4380 435 14060 352
SpotGamma Absolute Gamma Strike: 4300 4400 440 14075 350
Gamma Notional(MM): $-322 $-393 $-902 $1 $-633
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4434 4431 0 0 0
Put Wall Support: 4100 4200 420 13000 325
Call Wall Strike: 4450 4450 460 14075 400
CP Gam Tilt: 0.85 0.8 0.68 1.16 0.58
Delta Neutral Px: 4450
Net Delta(MM): $1,696,903 $1,688,089 $177,440 $40,491 $99,963
25D Risk Reversal -0.11 -0.1 -0.1 -0.1 -0.1
Key Support & Resistance Strikes:
SPX: [4500, 4450, 4400, 4300]
SPY: [450, 440, 430, 420]
QQQ: [360, 350, 345, 340]
NDX:[14500, 14400, 14075, 14000]
SPX Combo (strike, %ile): [(4507.0, 86.73), (4454.0, 92.69), (4279.0, 8.33)]
SPY Combo: [444.05, 429.21, 424.4, 449.29, 426.59]
NDX Combo: [14072.0, 13944.0]
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