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Informe Option Levels

Macro Theme:

 

Short Term SPX Resistance: 5,510 (SPY 550)

Short Term SPX Support: 5,450

SPX Risk Pivot Level: 5,400

Major SPX Range High/Resistance: 5,510 (SPY 550)

Major SPX Range Low/Support: 5,000

  • NVDA 10-1 split Friday night has the potential for relative top the week of 6/10. After OPEX, our prime catalyst (unwinding of long stock hedges) is gone, and we will be forced to take a “stop” on our NVDA short thesis.
  • We like 1-month QQQ 90-95% put spreads into the close of 6/18, and holding them through next week, due to potential OPEX weakness.
  • Upside scenario:
  • 5,500 – 5,510 (SPY 550 Call Wall) is major initial resistance. If the Call Wall(s) roll higher, our “top” does, too
  • The major high level for SPX on 6/28 (end-of-quarter OPEX) is 5,570
  • Downside scenario:
  • 5,400 is strong support
  • A break of 5,400 likely leads to a test of 5,300
  • <5,300 the market fully loses positive gamma support, allowing for higher implied volatility (i.e. VIX 20) and a move down into 5,000
  • 5,000 is massive support into June OPEX 6/21 & June Quarterly OPEX 6/28

 

Founder’s Note:

ES futures are +10 bps to 5,540. NQ futures are flat to 19,970.

Key SG levels for the SPX are:

  • Support: 5,450, 5437, 5400
  • Resistance: 5,462, 5,492, 5,500, 5,510
  • 1 Day Implied Range: 0.54%

For QQQ:

  • Support: 480, 475, 470
  • Resistance: 485, 490

IWM:

  • Support: 200, 198, 195
  • Resistance: 204, 205

We start off post-OPEX with key levels much the same from pre-OPEX, but at a much reduced size. You can see this in the SPX gamma curve below, wherein the positive gamma peaked near 5,500, but with a large $3.4bn in gamma. This morning we see that peak at $1.4bn in positive gamma, suggesting that dealers have much less hedging flow. This hedging flow, we believe, has been serving to pin down the S&P500. Said another way, volatility (movement up or down in the S&P) should increase.

We’re of the view this volatility should first express itself via downside in the S&P, and single stocks. This is due to the very heavy call:put imbalance (9:1) into OPEX.

That leaves us with a neutral zone around 5,450 – 5,460 in the SPX, with prices fluid down to 5,400 or up to 5,500.

Downside:

-We think 5,400 would serve as large support, and would anticipate that being a low. If 5,400 were to break, it implies a test of 5,300, along with a large jump in IV/VIX.

Upside:

-With a close >5,500, we would anticipate the

Call Wall

rolling to a higher strike. Further, if the SPX can close>5,500 trader attention would likely focus on the 5,570 JPM collar strike that expires on 6/28.

Our rather benign volatility expectations for the SPX is not the same for single stocks, particularly those that have been having the strongest performance (i.e. NVDA + semis). We expect volatility to remain high in those names, just with a correction at hand.

Its been no secret that we are negative on NVDA. On Friday we posted our Put/Call Impact chart for NVDA, showing a lack of positions <130, except for a bit of positioning at 120. The positions <=120 have increased post OPEX, suggesting more downside momentum is now available, with 120 as a major first downside level.

 

/ES

SPX

SPY

NDX

QQQ

RUT

IWM

Reference Price:

$5530.73

$5464

$544

$19700

$480

$2022

$200

SG Gamma Index™:

0.707

-0.227

SG Implied 1-Day Move:

0.00%

0.00%

0.00%

SG Implied 5-Day Move:

1.95%

1.95%

SG Implied 1-Day Move High:

After open

After open

After open

SG Implied 1-Day Move Low:

After open

After open

After open

SG Volatility Trigger™:

$5511.73

$5445

$544

$19680

$479

$2015

$204

Absolute Gamma Strike:

$5066.73

$5000

$545

$19750

$480

$2000

$200

Call Wall:

$5566.73

$5500

$550

$19750

$490

$2200

$210

Put Wall:

$5366.73

$5300

$542

$17000

$460

$2000

$195

Zero Gamma Level:

$5499.73

$5433

$543

$19650

$479

$2032

$204

SPX

SPY

NDX

QQQ

RUT

IWM

Gamma Tilt:

1.115

0.764

1.144

0.943

0.713

0.510

Gamma Notional (MM):

$272.142M

‑$388.978M

$3.344M

‑$21.493M

‑$26.583M

‑$794.179M

25 Delta Risk Reversal:

-0.024

0.001

-0.025

-0.014

-0.017

0.005

Call Volume:

610.757K

1.133M

19.402K

579.359K

29.811K

255.144K

Put Volume:

1.064M

1.656M

15.993K

794.50K

33.139K

303.93K

Call Open Interest:

6.113M

4.427M

53.926K

2.741M

266.636K

3.551M

Put Open Interest:

13.008M

12.144M

106.18K

5.584M

452.183K

7.062M

Key Support & Resistance Strikes

SPX Levels: [5000, 5400, 5550, 5500]

SPY Levels: [545, 540, 544, 550]

NDX Levels: [19750, 20000, 19800, 19700]

QQQ Levels: [480, 475, 485, 470]

SPX Combos: [(5727,79.67), (5700,96.56), (5672,84.07), (5650,92.43), (5623,83.32), (5618,78.37), (5601,98.63), (5579,76.73), (5574,91.99), (5568,96.91), (5563,78.01), (5558,87.26), (5552,97.89), (5541,88.57), (5530,83.55), (5525,93.30), (5519,95.49), (5514,76.06), (5508,95.07), (5503,77.59), (5497,99.71), (5492,89.38), (5486,72.16), (5481,83.48), (5470,80.22), (5443,76.70), (5437,94.43), (5432,84.59), (5426,93.67), (5421,84.71), (5388,73.10), (5383,72.96), (5377,90.86), (5372,77.75), (5350,88.08), (5323,79.99), (5317,78.91), (5301,94.07), (5251,78.32), (5224,70.91), (5219,76.43), (5202,88.38)]

SPY Combos: [546.85, 549.03, 556.64, 551.75]

NDX Combos: [19760, 19897, 20094, 20508]

QQQ Combos: [483.44, 498.32, 488.72, 472.4]