loader image

Informe Option Levels

Sep 27, 2022 | Informe Option Levels, Option Levels | 0 Comentarios

Futures have recovered from yesterday, to 3705. Levels remain broadly unchanged for today, with resistance at 3700 then 3751. Support shows at 3652 then 3621.

Today is a headline minefield, with US data out at 8:30AM but also various comments and speeches from central bankers. Markets may be more sensitive to this data & statements due to currency & credit stress.

Equities remain quite put heavy, which drives extreme volatility. We’ve covered the downside extensively the last several days, and one bad headline here could provide a final push into 3600 for Friday. We still assign edge to this scenario, but think it may make sense for traders to add some upside exposure for a bounce into October.

This is because these hedging feedback mechanisms work in both market directions, and as we approach Fridays expiration we remind traders that there is now a great deal of upside risk in markets, too. We’re under the belief that policy makers, globally, will be attempting to calm markets here which elevates this upside risk. With the VIX staged above 30 and put positioning maxed (addressed below), there is little to stop markets from a run back up into 4000 (puts decline sharply in value as both underlying price goes up and IV goes down, leading to futures hedge buying).

Further, there are a variety of technical indicators suggesting that this market is now deeply oversold on a short term basis. Interestingly in sync with this thought are our Delta & Gamma Tilt metrics. Both of these indicators are now showing readings which are associated with bottoms in the S&P500.

SpotGamma Delta Tilt: Compares Call vs Put Delta
SpotGamma Delta Tilt: Compares Call vs Put Delta
SpotGamma Proprietary SPX Levels Latest Data SPX Previous SPY NDX QQQ
Ref Price: 3656 3680 364 11254 274
SG Implied 1-Day Move:: 1.11%, (¬Īpts): 41.0 VIX 1 Day Impl. Move:2.01%
SG Implied 5-Day Move: 2.7% 3695 (Monday Ref Price) Range: 3595.0 | 3795.0
SpotGamma¬†Gamma Index‚ĄĘ: -1.96 -1.85 -0.43 -0.01 -0.13
Volatility Trigger‚ĄĘ: 4000 4000 405 11725 320
SpotGamma Absolute Gamma Strike: 4000 4000 360 11750 280
Gamma Notional(MM): -1125.0 -1102.0 -2365.0 -1.0 -925.0
Put Wall: 3600 3600 350 9200 270
Call Wall : 4300 4300 420 11750 325
Additional Key Levels Latest Data Previous SPY NDX QQQ
Zero Gamma Level: 3994 3991 401.0 11498.0 318
CP Gam Tilt: 0.42 0.41 0.35 0.86 0.45
Delta Neutral Px: 4028
Net Delta(MM): $1,576,369 $1,533,701 $216,890 $44,563 $110,578
25D Risk Reversal -0.08 -0.07 -0.06 -0.08 -0.08
Call Volume 509,739 724,689 2,085,560 7,207 841,465
Put Volume 1,037,853 1,636,196 3,437,273 6,551 1,181,705
Call Open Interest 5,570,560 5,482,645 7,418,915 54,080 4,508,785
Put Open Interest 10,386,196 10,199,762 12,210,795 72,110 6,849,461
Key Support & Resistance Strikes:
SPX: [4000, 3800, 3700, 3600]
SPY: [370, 365, 360, 350]
QQQ: [290, 285, 280, 275]
NDX:[12000, 11750, 9200, 9175]
SPX Combo (strike, %ile): [(3751.0, 90.9), (3700.0, 92.31), (3660.0, 74.75), (3652.0, 94.52), (3627.0, 81.01), (3620.0, 75.63), (3612.0, 87.35), (3601.0, 98.07), (3579.0, 90.62), (3576.0, 78.49), (3561.0, 77.09), (3550.0, 91.04)]
SPY Combo: [358.85, 363.95, 368.68, 353.75, 373.78]
NDX Combo: [11074.0, 11490.0, 11277.0]
Sub Login
Support
Follow @SpotGamma
Strike Charts
Historical Chart
Gamma Expiration Tool
2022-09-27_CBOE_gammagraph_AMSPX.png
2022-09-27_CBOE_gammagraph_AMSPY.png
2022-09-27_CBOE_gammagraph_AMQQQ.png
2022-09-27_CBOE_gammagraph_AMNDX.png
2022-09-27_CBOE_gammagraph_AMIWM.png
2022-09-27_CBOE_gammagraph_AMRUT.png
2022-09-27_CBOE_gammagraph_AMDIA.png