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Informe Option Levels

Nov 28, 2022 | Option Levels | 0 Comentarios

Futures have reverted to 4000 ahead of what should be a busy week. Major resistance remains in the 4050-4060(SPY450 Call Wall) range. Support shows at 3960. 4000 continues to be a “fair value” pivot area for the S&P given the large amount of balanced gamma (i.e. calls + puts) tied to that strike.

If you missed Friday’s AM note, we recommend you take a moment to review it as we outline the setup heading into this pivotal week, which kicks off on Wednesday 11/30.


For today & tomorrow we favor markets pinning the 4000 area, as we see traders “buying dips” and “selling rips” around that large 400SPY/4000SPX strike(s). You can see how prominent that 400 gamma strike is for SPY, too, in the plot below. In fact SPY carries a larger notional size vs SPX.

Additionally, while we last week saw positive drift sourced from the holiday weekend & FOMC Minutes, that is now behind us. Our current data suggests that traders have pivoted to selling upside calls and buying puts (both 1-3 weeks out) ahead of this data-heavy week. We do note that moves away from 4000 today & tomorrow will likely bring out 0DTE put and/or call sellers, which should help feed the S&P back into 4000.

On this point of volatility, we think that the “implied vol juice” has been squeezed. You can see this reflected in most IV metrics, several of which we’ve plotted below. IV is now catching a bid which pulls away a critical market tailwind.

This leads us back to our key theme as outlined on Friday AM: No one knows how the market will read the data points coming out of this pivotal week. Accordingly, it’s not much of a coincidence that we have the S&P at its largest “fair value” gamma strike of 4000, and IV at relative lows heading into this week.

This weeks data likely sparks a rather sharp directional trend into the major time frame of 12/14 FOMC & 12/16 OPEX. While generally traders can take a “wait and see approach” to playing upside out of the events, we do feel that, given a negative reaction, the market is underpricing jumpy downside volatility.

Depending on who you are this may mean different things. Whats clear to us is that you likely do not want to be short vol into this time window. Some may want to consider positioning into some downside put “lotto tickets” (or other more material hedges depending on exposure) ahead of 11/30.

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 4026 4026 402 11756 286
SG Implied 1-Day Move:: 1.07%, (±pts): 43.0 VIX 1 Day Impl. Move:1.29%
SG Implied 5-Day Move: 2.86% 4026 (Monday Ref Price) Range: 3912.0 | 4142.0
SpotGamma Gamma Index™: 0.71 0.81 -0.01 0.04 -0.03
Volatility Trigger™: 3995 3945 402 11475 285
SpotGamma Absolute Gamma Strike: 4000 4000 400 11650 290
Gamma Notional(MM): 157.0 283.0 -81.0 6.0 -197.0
Put Wall: 3600 3600 380 12000 279
Call Wall : 4100 4050 405 11650 290
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 4011 3981 401.0 10802.0 296
CP Gam Tilt: 1.21 1.15 0.97 1.48 0.88
Delta Neutral Px: 3934
Net Delta(MM): $1,817,480 $1,755,736 $178,200 $52,777 $92,530
25D Risk Reversal -0.05 -0.05 -0.05 -0.05 -0.05
Call Volume 230,640 450,729 665,379 2,723 257,847
Put Volume 484,004 941,657 1,043,682 3,305 432,711
Call Open Interest 6,539,919 6,549,297 7,521,486 67,497 4,905,999
Put Open Interest 11,472,793 11,421,209 12,632,185 61,526 6,789,187
Key Support & Resistance Strikes:
SPX: [4100, 4000, 3950, 3900]
SPY: [405, 403, 402, 400]
QQQ: [300, 290, 285, 280]
NDX:[12500, 12000, 11650, 11500]
SPX Combo (strike, %ile): [(4200.0, 92.65), (4176.0, 74.04), (4152.0, 93.47), (4128.0, 82.06), (4099.0, 97.3), (4075.0, 91.39), (4059.0, 75.28), (4055.0, 77.67), (4051.0, 95.93), (4035.0, 74.04), (4027.0, 75.75), (4003.0, 89.62), (3902.0, 86.9), (3850.0, 80.75), (3838.0, 79.16)]
SPY Combo: [409.57, 404.74, 414.8, 419.63, 407.16]
NDX Combo: [11650.0, 11885.0, 11427.0, 11474.0, 12297.0]
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