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Informe Option Levels

Dic 8, 2022 | Option Levels | 0 Comentarios

Futures are up slightly to 3940, from overnight lows of 3916. 3950-3960 (SPY395) remains first resistance, with 4000 the major level above. Support is at 3900. Our volatility estimates remain near a benign 1%.

Traders have built up this “box” of positioning from 390-400, which implies this zone should be sticky into Friday.

Our data continues to suggest that the options market in “wait and see” mode. Not just from small shifts the past several days, but also lack of positioning post-FOMC. We talked about this in last nights note, wherein volumes are concentrated in short term ATM, and the rise in IV/VIX is more of a response to being well under realized volatility. As we discussed yesterday AM, those market moving flows on Monday/Tuesday didn’t register concern in the options market (and apparently shut off yesterday).

You can see the slump in activity from this chart of total market call (blue) + put volumes (black). It reads somewhat like positional indifference at the end of a long year, and in front of some huge data points next week.

The options market is pricing in some volatility tied to tomorrows PPI & Michigan sentiment data. Normally these data points largely ignored by markets, but now they offer a final insight into 12/14 FOMC (along with 12/13 CPI). The likelihood is that this data doesn’t offer much, and traders quickly shift focus to next week.

 

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 3933 3931 393 11497 280
SG Implied 1-Day Move:: 1.06%, (±pts): 41.0 VIX 1 Day Impl. Move:1.42%
SG Implied 5-Day Move: 2.82% 4071 (Monday Ref Price) Range: 3957.0 | 4186.0
SpotGamma Gamma Index™: -0.81 -0.72 -0.29 0.03 -0.08
Volatility Trigger™: 4000 4000 397 11540 285
SpotGamma Absolute Gamma Strike: 4000 4000 400 11650 280
Gamma Notional(MM): -489.0 -497.0 -1218.0 6.0 -517.0
Put Wall: 3900 3900 380 11000 265
Call Wall : 4100 4100 410 11650 290
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 3978 3976 398.0 10887.0 296
CP Gam Tilt: 0.84 0.75 0.72 1.47 0.73
Delta Neutral Px: 3958
Net Delta(MM): $1,800,807 $1,848,860 $213,257 $50,207 $102,383
25D Risk Reversal -0.03 -0.5 -0.03 -0.03 -0.03
Call Volume 487,298 487,298 2,073,878 9,023 923,570
Put Volume 801,544 801,544 2,308,454 5,383 1,034,247
Call Open Interest 6,966,504 6,799,953 8,879,950 73,412 5,485,900
Put Open Interest 11,875,940 12,073,100 14,165,352 62,742 7,116,200
Key Support & Resistance Strikes:
SPX: [4000, 3950, 3900, 3800]
SPY: [400, 395, 390, 380]
QQQ: [300, 290, 285, 280]
NDX:[12000, 11750, 11650, 11500]
SPX Combo (strike, %ile): [(4099.0, 92.23), (4075.0, 77.61), (4051.0, 88.6), (3926.0, 74.57), (3898.0, 96.95), (3890.0, 85.67), (3874.0, 86.94), (3859.0, 75.05), (3851.0, 95.27), (3835.0, 83.79), (3823.0, 87.33), (3804.0, 85.16), (3800.0, 95.42), (3776.0, 75.23), (3749.0, 89.44)]
SPY Combo: [389.62, 379.79, 384.9, 409.67, 374.68]
NDX Combo: [11647.0, 11474.0, 11060.0, 11267.0, 11888.0]
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