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Informe Option Levels

Ago 27, 2024 | Informe Option Levels

Macro Theme:

 

Key dates ahead:

  • 8/28 GDP, NVDA earnings
  • 9/18 FOMC
  • 9/20 OPEX

Index Vols are elevated due to upcoming NVDA earnings, which makes this a key directional trigger into September.

Key SG levels for the SPX are:

  • Support: 5,600, 5,580, 5,550
  • Resistance: 5,615, 5,650, 5,665, 5,700
  • As of 8/27/24:
  • We are neutral <5,580, meaning markets likely trend lower, but find initial support at 5,550 & 5,520.
  • Models are “risk off” with a break <=5,500, which implies a multi-day directional move lower.
  • Models are “risk on” while >5,620, with 5,700 the initial upside target if NVDA ER is bullish.

QQQ:

  • Support: 475, 470
  • Resistance: 480
  • As of 8/27/24:
  • Post NVDA ER a multi-day directional move is likely signaled by a break <470 (bearish) or >480 (bullish)

IWM:

  • Support: 210, 200
  • Resistance: 213, 215, 220
  • As of 8/27/24:
  • Price will likely remain very fluid in either direction due to negative gamma. 200 is a long term support strike, and large positive gamma strike resistance is at 230.

 

Founder’s Note:

Futures are fractionally lower as the S&P500 wrestles with the large positive gamma strike of 5,600. And, while yesterday was framed by a large iron condor, the positions at 5,600 are tied to longer dated expirations (Sep, Dec) which should make this a significant strike going forward.

Because the “main event” is with tomorrow’s NVDA earnings, we anticipate today being fairly quiet, and mean reverting around the 5,600 to 5,620 (SPY 560) zone & QQQ 475.

While the overall SPX position is fairly balanced in respect to call vs put positions, there is a larger QQQ put position (blue bars) building <475. In gamma terms, generally the Q’s are only a fraction of SPX/SPY positions, but here they are of comparable size.

This larger put complex was flagged in yesterday’s Q&A (h/t Hassan), and suggests that if QQQ’s push <475 the negative gamma increases rather sharply, which should draw negative dealer gamma hedging (i.e. selling pressure).

Looking at QQQ skew, we see the wings are bid, likely in anticipation of NVDA earnings. Taking sizable gamma + elevated vols together, QQQ’s are poised to move, with <=470 signaling a longer term drawdown and >=480 a longer term rally toward Sep OPEX & FOMC (9/18-20). These vols are rich enough to invoke vanna as a key driver of forward price action in either direction.

 

/ES

SPX

SPY

NDX

QQQ

RUT

IWM

Reference Price:

$5634.53

$5616

$560

$19516

$475

$2217

$220

SG Gamma Index™:

1.024

-0.005

SG Implied 1-Day Move:

0.58%

0.58%

0.58%

SG Implied 5-Day Move:

1.95%

1.95%

SG Implied 1-Day Move High:

$5655.67

$5637.14

$562.71

SG Implied 1-Day Move Low:

$5590.66

$5572.12

$556.23

SG Volatility Trigger™:

$5613.53

$5595

$560

$19440

$474

$2120

$216

Absolute Gamma Strike:

$5618.53

$5600

$560

$19450

$470

$2250

$220

Call Wall:

$5768.53

$5750

$565

$19450

$480

$2250

$225

Put Wall:

$5318.53

$5300

$540

$20150

$440

$2120

$200

Zero Gamma Level:

$5560.53

$5542

$559

$19467

$474

$2163

$218

SPX

SPY

NDX

QQQ

RUT

IWM

Gamma Tilt:

1.137

0.994

1.033

0.909

1.31

0.986

Gamma Notional (MM):

$418.447M

$398.216M

$1.357M

$8.684M

$27.303M

$75.777M

25 Delta Risk Reversal:

-0.04

0.00

-0.043

-0.026

-0.02

-0.008

Call Volume:

393.387K

1.422M

8.441K

775.653K

18.113K

467.574K

Put Volume:

591.986K

1.733M

8.318K

729.833K

22.893K

479.828K

Call Open Interest:

7.185M

5.443M

67.458K

3.499M

349.853K

4.799M

Put Open Interest:

13.692M

14.548M

87.80K

6.253M

560.621K

8.806M

Key Support & Resistance Strikes

SPX Levels: [5600, 5550, 5650, 5500]

SPY Levels: [560, 550, 565, 555]

NDX Levels: [19450, 20000, 19500, 20500]

QQQ Levels: [470, 480, 475, 460]

SPX Combos: [(5875,71.34), (5853,93.92), (5825,78.80), (5802,98.10), (5774,87.14), (5768,75.32), (5757,82.47), (5752,99.54), (5740,70.04), (5729,72.28), (5724,92.55), (5718,82.42), (5712,94.44), (5701,99.36), (5690,84.95), (5679,86.96), (5673,91.87), (5667,93.04), (5662,90.86), (5651,98.76), (5639,77.71), (5628,73.86), (5622,90.81), (5600,71.61), (5561,73.66), (5527,73.60), (5510,70.88), (5499,86.08), (5448,76.40), (5426,73.35), (5409,79.39), (5398,90.86), (5347,82.45)]

SPY Combos: [567.46, 571.94, 563.53, 562.41]

NDX Combos: [19458, 19907, 19712, 19302]

QQQ Combos: [468.68, 480.08, 475.33, 495.29]