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Informe Option Levels

Nov 2, 2022 | Sin categoría | 0 Comentarios

Futures were flat overnight, holding 3860. We anticipate a quiet morning ahead of the 2pm ET FOMC. Resistance is at 3900, then 3950. Support shows at 3850, then 3800. Short dated IV for the S&P is near 40% suggesting traders are looking for a 2% move today (video on term structure here).

As discussed yesterday, we continue to believe traders should consider downside insurance via long puts ahead of 2PM. The threat of potential heavy downside volatility was reinforced by the ~60 handle SPX decline yesterday AM. Note this is not a view that traders should be short into FOMC – but one that downside protection/skew is cheap, and may pay off well if the Fed sparks lower markets.

Additionally, the overall outlook discussed on 11/1 is unchanged for today. We are looking for a large directional move to extend out of today’s FOMC as market trend will be reinforced by new options positions, and changes in IV (see y’day AM note).

Specifically the two near term target areas (i.e. next 2-3 sessions) are 4000 to the upside, and 3600 to the downside. We do anticipate heavy options volume (both 0DTE and “real” longer term flow) forming out of today’s events, and so we will be watching for key levels to form outside of those bounds for next week.

As we approach the anticipated target areas of 4000 or 3600, the timing should line up with next weeks elections & CPI readings. The CPI event, in particular, should trigger a second directional leg into Nov OPEX (11/18).

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 3855 3855 384 11288 275
SG Implied 1-Day Move:: 1.2%, (±pts): 46.0 VIX 1 Day Impl. Move:1.62%
SG Implied 5-Day Move: 3.15% 3900 (Monday Ref Price) Range: 3778.0 | 4023.0
SpotGamma Gamma Index™: -0.05 0.04 -0.16 0.02 -0.10
Volatility Trigger™: 3820 3830 384 11040 280
SpotGamma Absolute Gamma Strike: 4000 4000 390 11050 270
Gamma Notional(MM): -167.0 -161.0 -869.0 3.0 -649.0
Put Wall: 3600 3600 375 11000 265
Call Wall : 3900 3950 390 11050 285
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 3902 3873 392.0 10533.0 302
CP Gam Tilt: 0.99 0.91 0.73 1.28 0.61
Delta Neutral Px: 3911
Net Delta(MM): $1,640,698 $1,558,060 $187,960 $50,307 $97,529
25D Risk Reversal -0.05 -0.04 -0.02 -0.04 -0.01
Call Volume 440,317 559,380 2,185,371 7,904 730,528
Put Volume 744,434 962,438 2,819,878 6,071 899,471
Call Open Interest 6,376,374 6,534,621 7,863,264 62,510 4,651,048
Put Open Interest 11,143,373 10,635,765 13,768,407 58,907 6,864,101
Key Support & Resistance Strikes:
SPX: [4000, 3900, 3800, 3700]
SPY: [390, 385, 380, 375]
QQQ: [280, 275, 270, 265]
NDX:[12500, 12000, 11500, 11050]
SPX Combo (strike, %ile): [(3998.0, 88.95), (3948.0, 94.44), (3898.0, 94.59), (3836.0, 79.4), (3798.0, 74.86), (3759.0, 78.19), (3748.0, 78.8), (3725.0, 75.87), (3701.0, 91.32)]
SPY Combo: [388.75, 393.75, 369.14, 398.75, 382.6]
NDX Combo: [10871.0, 11052.0, 11074.0, 11289.0, 10995.0]
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