loader image

Informe Option Levels

Dic 9, 2022 | Option Levels | 0 Comentarios

Futures have pressed higher to 3980. Key SG levels remain unchanged, with a fairly tight volatility estimate of 0.89%. 4000-4010(SPY400) is large overhead resistance, with 4050 above that. Support below remains at 3960(SPY395) – 3950, with 3900 major support below there.

The 4000SPX (400SPY) level(s) continue to be the dominant strikes in terms of gamma positioning. As we discussed last night, the oscillation or grind around these big gamma levels is the behavior we forecasted for the week (although, admittedly, we anticipated a higher grind at the Call Wall).

Today poses a small threat to “the grind” as implied volatility for this session is a bit elevated due to the 8:30AM ET PMI & 10AM ET Michigan sentiment data. Interestingly the ATM straddle for today (ref 3980) is trading at $40 whereas we have been seeing that priced closer to $20-$30 eariler in the week (a.k.a market makers may be anticipating more vol today).

However, absent a multi-standard-devation print we do not anticipate much more than short term noise from these prints. Therefore we look for mean reversion on any sharp data-driven move.

Lastly, we wanted to share this heatmap of options open interest changes for the last week in SPX. If you think of SPX as the tool for large money to hedge risks (upside or downside) then we’d see some material position changes reflected here. As you can see the downside position changes (puts, bottom) are quite light, particularly out past 12/16 expiration. The same definitely goes for upside bets too. The point is that options traders (vs stock traders) are sitting on their hands, but this likely changes next week.

 

SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 3962 3956 396 11637 283
SG Implied 1-Day Move:: 0.89%, (±pts): 35.0 VIX 1 Day Impl. Move:1.4%
SG Implied 5-Day Move: 2.82% 4071 (Monday Ref Price) Range: 3957.0 | 4186.0
SpotGamma Gamma Index™: -0.16 -0.82 -0.14 0.04 -0.04
Volatility Trigger™: 3985 4000 396 11490 285
SpotGamma Absolute Gamma Strike: 4000 4000 400 11650 290
Gamma Notional(MM): -237.0 -316.0 -686.0 7.0 -269.0
Put Wall: 3900 3900 380 11000 280
Call Wall : 4100 4100 400 11650 290
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 3977 4001 398.0 10855.0 295
CP Gam Tilt: 0.97 0.87 0.83 1.49 0.86
Delta Neutral Px: 3959
Net Delta(MM): $1,919,287 $1,811,437 $210,189 $59,685 $102,745
25D Risk Reversal -0.05 -0.04 -0.05 -0.04 -0.05
Call Volume 436,147 487,298 2,188,367 7,539 871,268
Put Volume 648,108 801,544 2,114,193 6,006 871,673
Call Open Interest 7,010,457 6,966,504 8,803,597 74,273 5,596,808
Put Open Interest 12,302,725 11,875,940 14,250,075 70,879 7,296,073
Key Support & Resistance Strikes:
SPX: [4100, 4000, 3950, 3900]
SPY: [400, 395, 390, 380]
QQQ: [300, 290, 285, 280]
NDX:[12000, 11750, 11650, 11500]
SPX Combo (strike, %ile): [(4149.0, 93.16), (4098.0, 94.01), (4074.0, 82.52), (4050.0, 93.56), (3999.0, 91.47), (3900.0, 95.84), (3876.0, 81.51), (3848.0, 88.51), (3836.0, 84.12), (3824.0, 76.69), (3800.0, 96.22)]
SPY Combo: [379.99, 389.9, 409.71, 404.96, 414.86]
NDX Combo: [11649.0, 11475.0, 11894.0, 11067.0, 11277.0]
Sub Login
Support
Follow @SpotGamma
Strike Charts
Historical Chart
Gamma Expiration Tool
2022-12-09_CBOE_gammagraph_AMSPX.png
2022-12-09_CBOE_gammagraph_AMSPY.png
2022-12-09_CBOE_gammagraph_AMQQQ.png
2022-12-09_CBOE_gammagraph_AMNDX.png
2022-12-09_CBOE_gammagraph_AMIWM.png
2022-12-09_CBOE_gammagraph_AMRUT.png
2022-12-09_CBOE_gammagraph_AMDIA.png