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Informe Option Levels

Abr 28, 2023 | Informe Option Levels | 0 Comentarios

Macro Theme:

Major Resistance: $4,150 – $4,160 (SPY $410)
Pivot Level: $4,100
Major Support: $4,100
Range High: $4,200 Call Wall
Range Low: $4,000 Put Wall

‣ We look for markets to consolidate after OPEX & heading into the 5/3 FOMC

Founder’s Note:

S&P futures are lower by 30bp to 4137, with NQ lower by 30bps to 13195. Support today is at the 4110 (SPY 410) – 4100 level, with 4060 (SPY 405) beneath there. Resistance above is at 4150-4160 (SPY 415). Our range high is at the 4200 – 4210 SPX/SPY Call Walls, but we do not anticipate a test of this level today.

Yesterday was very “chasey”, particularly in tech. There was indeed an initial negative delta response (purple) at 4100-4110 (SPY410) as shown below (red arrow), which indicates traders sold calls, and/or bought puts at that level. However, around 1:30 PM ET something triggered in the market which resulted in several large waves of call driven positive delta flow (green arrow). This flow helped to cap off a huge 1.9% SPX move, which crushed implied vols. The S&P performance trailed tech, with QQQ +2.7%.

AMZN may have taken some energy out of the chase, as it was +20% after yesterdays PM ER print, but -2% after its ER call. Further, the decline in IV largely removes vanna as a tailwind with ATM SPX IV’s back to ~15%.

Total call volumes were indeed elevated, but far from the record levels posted back on February 2nd. That February record volume crescendo presented a clear “FOMO” moment that is less obvious here. This more resonable level of call volume into yesterdays move suggests “real buyers” may have been at work, and backs chances for a more extended move into May (assuming FOMC cooperates).

Where, again, call volumes were high yesterday, open interest changes a bit less impressive. Ultimately new positions serve to build up gamma in the 4100-4200 range, making this area sticky in the short term. To this point we are now watching 4150 area as resistance line into 5/3 FOMC.

Over to QQQ, where there was massive volume at the 320 Call Wall strike, which was held as resistance. Interestingly, we show net call open interest decreased at this level, as it appears traders rolled positions up to 330 – which is now the QQQ Call Wall. This supports the notion of short term neutral, but longer term bullish.

The end result of all this is that we think markets are now likely to take a breather, and volatility is likely to decline after back-to-back 2% SPX moves. We hold the 4100-4150 area as neutral, and look for trade to mean revert off of these support and resistance levels. Just as with earlier this week, a break of 4100 implies a quick test of the 4050 level. A move over 4150 places the 4200 Call Wall in play, as we think that 4200 level will “attract” or “pull” the market higher.

In yesterdays AM note we expressed a bullish tilt to markets, particularly out of FOMC. As we look out past FOMC we maintain that stance, but it is predicated on the 4200 Call Wall rolling to higher strikes. To the downside a break of 4000 out of FOMC is a major risk off signal.

 

SpotGamma Proprietary Levels

SPX

SPY

NDX

QQQ

RUT

IWM

Reference Price:

$4135

$412

$13160

$320

$1751

$173

SpotGamma Implied 1-Day Move:

0.90%

0.90%

SpotGamma Implied 5-Day Move:

2.32%

SpotGamma Volatility Trigger™:

$4110

$411

$12775

$321

$1760

$176

Absolute Gamma Strike:

$4000

$410

$12975

$320

$1800

$175

SpotGamma Call Wall:

$4200

$420

$12975

$330

$1780

$178

SpotGamma Put Wall:

$4000

$400

$11000

$318

$1600

$170

Additional Key Levels

SPX

SPY

NDX

QQQ

RUT

IWM

Zero Gamma Level:

$4111

$414

$12175

$322

$1926

$183

Gamma Tilt:

1.2

0.88

1.9

0.82

0.62

0.49

SpotGamma Gamma Index™:

0.89

-0.11

0.055

-0.06

-0.025

-0.091

Gamma Notional (MM):

$4.6B

$8.8B

$24M

$3.7B

$124M

$3B

25 Day Risk Reversal:

-5.27%

-4.46%

-3.11%

-2.40%

-6.48%

-6.82%

Call Volume:

735K

2.3M

12K

805K

12K

354K

Put Volume:

1M

3.2M

8.1K

1.4M

16K

683K

Call Open Interest:

6M

7.2M

52K

4.6M

172K

3.1M

Put Open Interest:

12M

13M

56K

8.4M

319K

6.8M

Key Support & Resistance Strikes

SPX Levels: [4200, 4150, 4100, 4000]

SPY Levels: [415, 412, 410, 400]

NDX Levels: [14000, 13200, 13000, 12975]

QQQ Levels: [320, 318, 315, 300]

SPX Combos: [(4326,80.67), (4321,88.68), (4301,98.05), (4276,91.44), (4264,75.01), (4251,96.12), (4230,80.12), (4226,92.60), (4214,76.35), (4210,91.76), (4206,77.71), (4202,99.11), (4193,82.64), (4189,88.61), (4185,84.01), (4181,94.57), (4177,96.06), (4168,89.36), (4164,93.23), (4160,96.65), (4156,87.18), (4152,93.11), (4144,79.35), (4139,89.40), (4111,92.36), (4106,75.95), (4090,89.54), (4082,80.86), (4069,79.82), (4061,89.61), (4049,90.04), (4011,89.33), (3999,96.56), (3974,77.94), (3949,92.47)]

SPY Combos: [396.74, 406.64, 407.87, 412]

NDX Combos: [12976, 13555, 13068, 12936]

QQQ Combos: [324.87, 318.77, 308.51, 316.85]