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Informe Option Levels

Oct 3, 2022 | Option Levels | 0 Comentarios

Futures are up some to 3615. Resistance shows at 3606 and 3654. Support shows at 3553 (SPY 355). We look for lower levels of volatility today, after put positions were removed on Friday.

We believe that the expiration of large put positions can be turning points for market rallies. For this reason, we have been suggesting traders look at call positions to benefit from a rally into this week. The fuel for this rally would come from short delta covering (dealers now have fewer puts to hedge) and a decline in implied volatility. We do not have any significant resistance points until 3800 (Vol Trigger).

 

 

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 3589 3597 357 10971 267
SG Implied 1-Day Move:: 1.09%, (±pts): 39.0 VIX 1 Day Impl. Move:2.1%
SG Implied 5-Day Move: 3.08% 3589 (Monday Ref Price) Range: 3479.0 | 3700.0
SpotGamma Gamma Index™: -1.85 -1.91 -0.38 -0.02 -0.12
Volatility Trigger™: 3800 4000 380 11725 290
SpotGamma Absolute Gamma Strike: 4000 4000 350 11750 270
Gamma Notional(MM): -1015.0 -1205.0 -2069.0 -2.0 -849.0
Put Wall: 3500 3600 350 9200 265
Call Wall : 3835 4400 363 11750 288
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 3952 3901 390.0 11294.0 310
CP Gam Tilt: 0.43 0.39 0.41 0.78 0.44
Delta Neutral Px: 3926
Net Delta(MM): $1,536,992 $1,584,352 $201,129 $37,625 $98,956
25D Risk Reversal -0.06 -0.07 -0.05 -0.06 -0.06
Call Volume 586,991 615,379 2,491,931 7,475 893,387
Put Volume 982,018 971,006 3,179,633 6,585 1,116,000
Call Open Interest 5,872,495 6,060,790 7,849,709 57,145 4,439,747
Put Open Interest 10,055,128 10,712,106 11,479,178 66,348 6,268,272
Key Support & Resistance Strikes:
SPX: [4000, 3700, 3600, 3500]
SPY: [370, 360, 355, 350]
QQQ: [290, 280, 270, 265]
NDX:[12000, 11750, 9200, 9175]
SPX Combo (strike, %ile): [(3654.0, 90.42), (3626.0, 78.44), (3618.0, 80.73), (3604.0, 97.99), (3568.0, 83.65), (3554.0, 92.61), (3529.0, 81.49), (3518.0, 87.21), (3504.0, 98.03)]
SPY Combo: [348.61, 358.61, 353.61, 363.61, 350.04]
NDX Combo: [10883.0, 11081.0, 10675.0, 11004.0, 11289.0]
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