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Informe Option levels

Oct 14, 2022 | Option Levels | 0 Comentarios

Futures are near 3700, up from overnight lows of 3665. Resistance is at 3700, then 3760 (SPY 375 equivalent). Support shows at 3651 and 3600. Our SG Implied move remains very high at 1.3%, as does the VIX implied move at 2%. In other words: volatility is likely to remain high today.

There was a rather surprising lack of change in SG levels. Nearly all levels remained the same which suggests that despite the volatility yesterday and huge options volume (total US options volume was 54mm vs 49mm avg), open interest didn’t change significantly.

It does seem like the core theme to yesterdays S&P flow was calls building up into the 3650 to 3750 area, and put interest added to strikes <=350/3500 (see yesterdays recap). However, this was not enough put flow to shift our Put Wall. As volumes were large, we suspect many traders sold puts at the lows, and elected to cover intraday as both IV dropping and stock prices ripping led to destruction of put values.

3700 is now the key level as it’s the biggest gamma strike on the board. Above this line we think volatility will reduce, as 3700 supports markets. This would play into the scenario we outlined for some time of markets extending its directional move into next weeks monthly OPEX (10/21). We do not see a reason to shift from this stance.

Should we move over 3700 today, we highlight the 3750 area as larger resistance due to contracts expiring there today.

While open interest did not change all that much, it appears the implied volatility was pounded. Our Risk Reversal metric is reading a bullish -0.05, and the skew index slid sharply (SDEX shown below). This further suggests that traders elected to sell OTM puts into yesterdays AM crash.

We see some commentators suggesting that yesterdays rally forms an air pocket below, but we don’t really agree with that. One has to respect downside moves here, particularly off of some headline like the BOE drop from a few sessions ago.

However, on net yesterdays rally really just pushed the S&P back up into its short term equilibrium, of sorts. Note below how the S&P is trading where it spent so much time basing into the end of September. Barring some headline “sucker punch” which re-engergizes October puts, we continue to think that IV coming down (vanna) and time passing (charm) add a tailwind for equities into next week.

 

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 3669 3672 365 11033 268
SG Implied 1-Day Move:: 1.3%, (±pts): 48.0 VIX 1 Day Impl. Move:2.02%
SG Implied 5-Day Move: 3.08% 3640 (Monday Ref Price) Range: 3528.0 | 3753.0
SpotGamma Gamma Index™: -1.11 -1.86 -0.33 -0.01 -0.09
Volatility Trigger™: 3700 3800 375 11525 270
SpotGamma Absolute Gamma Strike: 3700 3700 360 11750 270
Gamma Notional(MM): -701.0 -644.0 -1961.0 -1.0 -673.0
Put Wall: 3500 3500 360 11000 265
Call Wall : 4100 4100 377 11750 274
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 3856 3889 388.0 11183.0 300
CP Gam Tilt: 0.69 0.66 0.53 0.87 0.62
Delta Neutral Px: 3894
Net Delta(MM): $1,820,293 $1,879,899 $221,838 $49,396 $110,441
25D Risk Reversal -0.05 -0.06 -0.04 -0.06 -0.05
Call Volume 830,619 480,820 4,207,040 11,696 1,823,432
Put Volume 1,214,028 746,184 7,208,808 12,482 2,320,003
Call Open Interest 7,013,584 6,911,672 8,763,768 63,485 5,345,952
Put Open Interest 11,607,281 11,423,977 14,886,253 80,240 7,308,303
Key Support & Resistance Strikes:
SPX: [4000, 3700, 3650, 3600]
SPY: [370, 365, 360, 350]
QQQ: [280, 270, 265, 260]
NDX:[12000, 11750, 11500, 11000]
SPX Combo (strike, %ile): [(3699.0, 73.98), (3651.0, 91.93), (3625.0, 79.15), (3611.0, 86.36), (3600.0, 96.87), (3574.0, 74.61), (3559.0, 81.62), (3548.0, 92.01), (3526.0, 77.48), (3512.0, 81.77), (3501.0, 96.81)]
SPY Combo: [359.02, 349.14, 353.89, 364.14, 360.11]
NDX Combo: [10879.0, 10669.0, 11497.0, 11000.0]
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