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Informe Option Levels

May 11, 2023 | Informe Option Levels | 0 Comentarios

Macro Theme:

Major Resistance: $4,150 – $4,160 (SPY $415)
Pivot Level: $4,100
Major Support: $4,000
Range High: $4,200 Call Wall
Range Low: $3,900 Put Wall

‣ IV lows coincide with the $4,200 Call Wall to create $4,150-$4,200 area resistance into May OPEX
‣ A break of 4100 is “risk off”, likely invoking a test of $4,000
‣ Equities may enter a “window of weakness” starting with 5/17 VIX & 5/19 OPEX

Founder’s Note:

Futures are higher to 4160, indicating the SPY will open near heavy 415 resistance (SPX 4155). Resistance above that level remains at the 4200 Call Wall. To the downside we mark 4,130 (SPY 412) as first support, followed by 4100.

We believe the volatility yesterday was mainly driven by traders pushed to hedge the CPI reaction. The idea here is that the opening cash high was a ~1% ES move, which was the move that the 0DTE straddle was pricing for the day. That also brought the SPX to an opening at heavy 4150 resistance. Invoked at this could have been “standard issue” hedging flow, but we’ve also discussed that with volatility priced rather tightly it doesn’t take much to push traders offsides and having to scramble for cover (i.e. short dated vol sellers offsides). Regardless, there was a strong negative delta response on 4150, which dropped the SPX to 4100, wherein there was a massive positive delta response (see this video for a detailed breakdown). Ping pong.

The point of this recap is to suggest that yesterday was just about “short dated volatility games”. May exp IV ended the day a bit higher, which makes sense given the large swings. However, as shown in the SPX term structure below, IV for June and beyond went unchanged through the CPI data and all that intraday movement. Again, we note this prevailing idea that if you’re outlook is 1 day/1 week you have a more “risk free” shot at shorting volatility because the possible tails all sit out in June.

To this point, at the end of the day the S&P closed up 45bps, but ultimately its going nowhere. This becomes more apparent when you zoom out, and see how prominent this 4100-4150 pin is since March OPEX. We believe this range remains in play until early next week, and then will be tested starting VIX exp (5/17) & OPEX (5/19).

 

SpotGamma Proprietary Levels

SPX

SPY

NDX

QQQ

RUT

IWM

Reference Price:

$4137

$412

$13347

$325

$1759

$174

SpotGamma Implied 1-Day Move:

0.86%

0.86%

SpotGamma Implied 5-Day Move:

2.59%

SpotGamma Volatility Trigger™:

$4115

$413

$12790

$324

$1770

$175

Absolute Gamma Strike:

$4000

$412

$12975

$320

$1800

$175

SpotGamma Call Wall:

$4200

$420

$12975

$330

$1780

$178

SpotGamma Put Wall:

$4000

$400

$13175

$315

$1750

$170

Additional Key Levels

SPX

SPY

NDX

QQQ

RUT

IWM

Zero Gamma Level:

$4113

$415

$12348

$322

$1836

$182

Gamma Tilt:

1.2

0.81

2

1.1

0.69

0.50

SpotGamma Gamma Index™:

0.90

-0.21

0.07

0.02

-0.02

-0.10

Gamma Notional (MM):

$5B

$9.6B

$31M

$4B

$155M

$3.3B

25 Day Risk Reversal:

-0.07

-0.05

-0.05

-0.05

-0.05

-0.06

Call Volume:

587K

2.7M

11K

913K

13K

315K

Put Volume:

957K

3.1M

8.2K

1.1M

31K

799K

Call Open Interest:

6.3M

7.3M

57K

4.7M

199K

3.3M

Put Open Interest:

12M

14M

62K

8.7M

346K

7.4M

Key Support & Resistance Strikes

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

SPY Levels: [415, 413, 412, 410]

NDX Levels: [13500, 13200, 13000, 12975]

QQQ Levels: [325, 322, 320, 315]

SPX Combos: [(4323,82.82), (4319,89.18), (4311,74.80), (4298,97.99), (4274,90.21), (4261,84.13), (4249,96.76), (4241,75.16), (4228,81.79), (4224,92.15), (4220,88.89), (4207,92.51), (4203,82.26), (4199,99.47), (4195,74.90), (4191,95.60), (4183,85.21), (4178,94.75), (4174,95.48), (4170,93.04), (4166,80.98), (4158,91.98), (4154,81.82), (4150,94.35), (4108,79.77), (4087,88.88), (4075,83.12), (4058,88.25), (4050,93.28), (4030,79.03), (4025,75.28), (4009,88.15), (4001,98.17), (3976,77.73), (3959,76.23), (3951,90.35)]

SPY Combos: [421.55, 431.46, 401.29, 426.5]

NDX Combos: [12974, 13548, 13348, 13748]

QQQ Combos: [316.17, 330, 324.86, 310.06]