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Informe Option Levels

Ene 30, 2025 | Informe Option Levels

Macro Theme:

Key dates ahead:

  • 1/30: Jobless Claims/GDP, AAPL/INTC earnings

We flip to risk-off if SPX trades <6,000.

Key SG levels for the SPX are:

  • Resistance: 6,100
  • Support: 6,020, 6,000, 5,900, 5,800

Founder’s Note:

Jobless claims & GDP 8:30AM ET

Tonights earnings: AAPL & INTC

Futures are +30bps after FOMC & big tech earnings:

TSLA: +2.3%

META: +1.3%

MSFT: -4%

Treasury yields are lower after FOMC: US10Y 4.49%

UPS reported this morning, and is down a massive -12%.

CAT also reported this AM, down -4%.

We remain bullish of the S&P500 while it is >6,000. We shift to a risk-off stance <6,000.

Resistance: 6,100

Support: 6,018, 6,000

We start today in a very flat gamma, low stability position, with net negative gamma strikes from ~5,975 all the way through 6,100. This informs us that the S&P500 is poised to move today, and therefore we look for a quick move to either 6k or 6,100.

We give edge to 6,100 here as there is some vol to compress, which could add a lift to equity prices.

Normally we’d expect the FOMC to release some SPX implied volatility as the event passes. That didn’t really appear to happen, as fixed strike vols are down about 1/4 pt across the board.

Below is 1-month SPX fixed strike vol (teal) – it looks a lot like it did on Tuesday night (gray). We again compare these dates vs Friday, which was pre the DeepSeek spasm (yellow).

Given that yields are lower, one would anticipate equities to respond higher. We note that Bitcoin is at $105k, just a shade off of ATH’s. Vols could be a bit sticky if traders are waiting for the jobless/GDP data to pass this AM.

We also see that semis are +1% pre-market, with DeepSeek comments from MSFT & META being fairly benign (i.e. DeepSeek hasn’t destroyed AI CAPEX/chip demand).

The area drawing most call attention is China. We noted lots of KWEB/BABA volume in TAPE yesterday, which is tied to record “China tech

call volumes

” (below, h/t ZH JPM). We show KWEB skew ranks are near 90% (via EquityHub), suggesting that these call prices are quite high – but that can often open up sets of interesting options trades. It also generally suggests that people are looking for places to deploy risk capital, not hide it away.

https://i0.wp.com/tme2.nyc3.cdn.digitaloceanspaces.com/images/ad9604b626ceae9ffb557a50aa692405.png?w=1080&ssl=1

 

/ES

SPX

SPY

NDX

QQQ

RUT

IWM

Reference Price:

$6068.25

$6039

$601

$21411

$520

$2283

$226

SG Gamma Index™:

0.344

-0.282

SG Implied 1-Day Move:

0.64%

0.64%

0.64%

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™:

$6044.25

$6015

$602

$21320

$521

$2280

$227

Absolute Gamma Strike:

$6029.25

$6000

$600

$21450

$510

$2300

$230

Call Wall:

$6229.25

$6200

$620

$21450

$535

$2285

$230

Put Wall:

$5929.25

$5900

$590

$21000

$510

$2250

$215

Zero Gamma Level:

$6033.25

$6004

$605

$21197

$523

$2294

$229

SPX

SPY

NDX

QQQ

RUT

IWM

Gamma Tilt:

1.048

0.760

1.166

0.813

0.861

0.642

Gamma Notional (MM):

$91.509M

‑$737.841M

$3.812M

‑$241.067M

‑$13.599M

‑$476.393M

25 Delta Risk Reversal:

-0.041

-0.022

-0.048

-0.029

-0.023

-0.004

Call Volume:

378.985K

1.305M

7.222K

664.259K

7.783K

335.277K

Put Volume:

594.215K

1.467M

9.202K

770.245K

17.326K

283.962K

Call Open Interest:

6.405M

5.52M

60.383K

2.683M

235.083K

2.924M

Put Open Interest:

11.937M

12.84M

72.656K

4.685M

396.228K

6.431M

Key Support & Resistance Strikes

SPX Levels: [6000, 6100, 6050, 6150]

SPY Levels: [600, 590, 605, 595]

NDX Levels: [21450, 21000, 22000, 21400]

QQQ Levels: [510, 520, 525, 530]

SPX Combos: [(6323,84.05), (6299,96.53), (6275,84.28), (6251,95.68), (6227,83.97), (6220,85.61), (6202,98.98), (6172,94.46), (6166,94.61), (6160,74.56), (6148,97.89), (6142,71.80), (6130,82.65), (6124,93.83), (6118,81.68), (6112,80.60), (6100,97.93), (6088,83.40), (6076,84.76), (6070,74.77), (6051,73.27), (5997,93.04), (5979,70.58), (5973,95.38), (5949,91.81), (5943,70.05), (5925,81.58), (5919,91.42), (5912,83.54), (5900,95.42), (5882,70.30), (5876,69.82), (5870,79.49), (5852,90.64), (5828,83.69), (5822,75.67), (5798,94.06), (5768,68.50), (5749,85.65)]

SPY Combos: [617.82, 612.98, 607.54, 609.96]

NDX Combos: [21454, 21990, 20962, 20555]

QQQ Combos: [521.29, 534.86, 509.81, 530.16]